Always update windows. Otherwise your brand new computer could be turned into a paper weight. Do not even connect it to the net without either putting a firewall or av first.
Service pack 2 has nothing to do with performance its all security patches. Also you might not want to run a firewall like zone alarm because of performance but at least use the windows one or hook to the net through a router.
Yeah but its better than nothing. I know lots of people who use zone alarm and norton that shut it down when they play games to get their connection faster. I do this when I play unreal but I'm behind a router so it dosent even matter. The only reason I keep zone alarm is for out bound monitoring.