First:
Please do NOT delete it unless you absolutly have got to have the space. Think of it as a safety net or cheap insurance. The ServicePackFiles are exactly that - the files that are IN the service pack. IF you change your configuration or install new software the system might need these files to fix known problems that werent needed when you installed the service pack - or to correct user errors. IF you burned a CD(or made a slipstreamed DVD/CD) of the service pack then you dont need them as you have a copy on the disk.
IF you must have the space, download and burn a copy for later problems!
Its SAFER to keep a copy(not to mention easier) than to have to find someone with a working computer and connection to download them if/when your system has problems.
Second:
Any folder on Windows XP which is compressed shows as a blue folder.