I have not tried with nLite, but it works with HfSlip, with which it's standard practice and well documented. Just find their nest on the Web.
To my understanding, HfSlip just adds the update of IE and dX to the W2k installation; the files are not integrated to the original installation.
This is consistent with Microsoft's design of IE6 and dX9, whose installation packages don't slipstream with W2k (they are not part of W2k, is that the reason?).
Also, I could not slipstream their updates into IE6, dX9 nor Wmp9 - but these updates are cumulative, so a single update each suffices, said a bit quickly.