The download versions of SP4 (as of 24-Oct-98) are missing the setupdd.sys and Winnt32.exe files.
I quote the readme.txt at ftp://ftp.microsoft.com/bussys/winnt/winnt-public/fixes/usa/nt40/ussp4/additional/:
of Service Pack 4 (they are on the CD). This self-installing EXE contains
both of these files:
1. This package is in an auto-install format.
Type the executable name to install it. For example, type "sp4exti" for x86
platforms or "sp4exta" for Alpha platforms (without the quotation marks).
2. The files can also be extracted without installing them.
To do this, copy the file to a temporary directory, and type "sp4exti /x"
or "sp4exta /x" (without the quotation marks).
After extracting the files, they can be installed by typing "hotfix"
(without the quotation marks).