If I run SFC /SCANNOW from either Start > Run or Start > Run > CMD

It starts of and promptly displays a box stating
Files that are required for Windows to run properly must be copied to the DLL cache.

Insert your Windows XP Professional Service Pack 2 CD now.
I have a Dell OEM DVD with Windows XP Media Edition combined with SP2 on it.

The DVD is named XP_MCE_SP2_ENG.

There is no option to point to a specific directory so I can't redirect it.