Unfortunately, as the BSA part of the E-mail posted above is cut off, I am not fully sure what their plans are, however it appears that this is basically a warning asking you to immediately stop sharing out that unauthorised software. If they were to take action, I would expect some sort of written letter to have arrived by registered post.
If you have the original discs for Windows XP Professional (or even Home), there are several guides on the Internet to slipstream Service Pack 2 into it to create a bootable Windows XP SP2 disc. The following link shows one guide I came across just from Googling:
Unfortunately, slipstreaming patches and other updates into a bootable CD is a little bit more tricky and am fairly certain that any downloadable versions of Windows XP you will come across will not contain patches slipstreamed into them. What I normally do is put all the patches into a single folder and create a batch file to automatically install the patches. The following link shows all the switches to use for each patch such that no user interaction is required while the batch file runs through the patches: