If you try to install the new Service Pack 2 available for TMG on a newly installed server you might encounter an error saying that the product cannot be installed. Users that already have TMG installed will probably have no problems installing.
The reason why is that in order to install the SP2 on the new TMG you first need to install Software Update 1 for TMG Service Pack 1, which also requires that you install SP1 on the same server.
Here are the links for every one of the downloads:
TMG Service Pack 1:
TMG Software Update 1 for Service Pack 1:
TMG Service Pack 2: