Like Mech's guide said (please do read it), have SP2 burned to a CD ahead of time so you can apply it and enable the firewall before plugging your computer into a network (especially directly to a modem). A router is a great thing for security, btw, even if you only have one computer.
Also, welcome to AnandTech.
Edit: I recommend unplugging everything except the SATA disk that you're installing on, and one CD-ROM (or DVD-ROM, or -RW, or whatever) for installing Windows. That method prevents things such as a Zip disk ending up with C: while the hard disk becomes F:, and other "fun" stuff. It also keeps you from accidentally wiping the wrong hard disk, if you have more than one.