Click on the Windows XP SP2 link on the left of that page to get to the XPSP2 Platform SDK download:
Microsoft Windows XP SP2 Platform SDK
The Platform SDK – Windows XP Service Pack 2 contains the information you need to develop applications for Microsoft Windows XP Service Pack 2.
Use this SDK to ensure that you have the latest documentation, samples, and SDK build environment (header files, libraries, and tools) for the release of Windows XP Service Pack 2. The documentation includes updated information for Windows Server 2003 as well, but does not replace your existing build environments for Windows Server 2003. A new custom install allows you to select components you wish to install on a more granular level. Choose “custom” instead of “typical” to utilize this feature.