Service pack and cumulative update
If you already have SQL Server 2014 RTM installed

You can't do any slipstreaming - service packs don't support that, only initial installs.
(note: you cannot vote for the suggestion linked directly above as it was never migrated to the newer &quot;Feedback&quot; system; the link merely takes you to an archived version of the request that used to exist)

You can't apply an SP1 CU without first applying SP1.

Cumulative updates are cumulative - if you eventually want to get to SP1 CU2, you can ignore SP1 CU1 altogether.


So, in that case, you would have to download SP1, install it, and then apply Cumulative Update #2.

If SQL Server 2014 is not already installed
You can slipstream in this scenario, so that the system starts for the first time running at SP1 CU2, and no further installs are necessary. Download SP1 and SP1 CU2, extract them to a single folder, and point setup at them, e.g.:
setup.exe /Action=Install /UpdateSource=C:\UpdateFolder


If you are using versions older than 2012
All of the above still applies, however in 2008 and 2008 R2, a single /UpdateSource is not supported; you want to use the following instead, with /PCUSource for the extracted service pack files, and /CUSource for the extracted cumulative update files:
setup.exe /Action=Install /PCUSource=C:\SP1Folder /CUSource=C:\CU2Folder


Other info
Peter Saddow documented the slipstream process here, long ago, but this did not deal with SP + CU scenarios:

Creating a merged (slipstreamed) drop containing SQL Server 2008 RTM + Service Pack 1

I talk about it a bit more here (and the advice for 2012 will stand for 2014, and from what I've heard so far, 2016 as well):

SQL Server 2012 Service Pack 1 &amp; Cumulative Update 1

For slipstreaming to work, you will have to extract the CU file you get from the hotfix download server (in this case 486657_intl_x64_zip.exe), and make sure that the update source folder has the extracted files.