As far as I understand it, Oracle 9.2.0.1 is the base release and every 9.2 version after are patches to the base release so you should be able to install 9.2.0.1 and then upgrade to the release level that you want.

I know that in our HP-UX environment, we install 9.2.0.1 base release and then apply the 9.2.0.6 patch to bring the installation up to 9.2.0.6

I don't think this is any different for Windows.