nLite will be the Best option, otherwise u can also do it manually!
Goto the folder, where the update files r stored and then give following command at DOS or in RUN box:
Update_file_name /integrate:Win_XP_Setup_Location
Ex:
KB873339-ENU.exe /integrate:E:\WinXP
here, KB873339-ENU.exe is update file name
E:\WinXP is the location, where u hv stored Setup.