Well most Windows Operating System now a days, even with Windows XP it requires some sort of validation! In order to take full advantage of your product, Microsoft try's to make sure your copy is genuine, hence the name "Microsoft Genuine Advantage"! With Windows XP, when you click on "Updates" it should first take you to Microsoft.com in their product downloads section. There should be two files to download that are mandatory downloads to do, if you want to take full advantage of your product, like the ability to download and install current and future product updates. Once complete and your system checks out to be genuine, the locks on the product update feature will be removed and you can than bring your copy of Windows up to date.
This is a normal function after installing Windows XP on a computer, so when you ask "is this right", the answer is yes, it's right! But there again I'm only speaking from personal experience, I've always used the Internet way to validate copy's of Windows XP, I never was prompted to ever have to call them by phone.