The following errata for CentOS-2 have been built and uploaded to the centos mirror:

RHSA-2005:474-01 Low: bzip2 security update

Files available:
bzip2-1.0.1-4.EL2.1.i386.rpm
bzip2-devel-1.0.1-4.EL2.1.i386.rpm
bzip2-libs-1.0.1-4.EL2.1.i386.rpm

More details are available from the RedHat web site at
https://rhn.redhat.com/errata/rh21as-errata.html

The easy way to make sure you are up to date with all the latest patches is to run:
# yum update