You need to install only the latest service patch. You should also download all the little patch because they are not included in the SP.

>I knew there is a Web Site to look up for patches download.
>But my question was, which should I download and patch?
>
>Should I start from the very first patch towards the latest
>patches. If so, then it is quite a long process.
>OR, should I only download the latest and assuming that at
>other patches programs are included?