When you run HP service packs, they will expand and place their contents under an own directory within C:\swsetup.
Specifically in your case, if you run sp74202.exe, you should see a new directory C:\swsetup\SP74202 has been created with the contents of the service pack within.
Alternatively you can use 7-zip to peek inside the service pack exe without running it since the exe is a self extracting zip file that runs the installer once decompressed 
In any case, a newer ME update exists here but i'd first apply the latest system firmware update available here.
When looking at the HP service pack links above, it's good practice to selectively click each "Description", "Enhancements", "Installation Instructions" "Release Notes" "Fixes" and "Revision History" tabs and read the information (some of it is repetative but you'll soon learn where to focus your attension).
The contents of these tabs contain important and relevant information on what has been improved, fixed, which system it's for, how to install the update, etc. And if a previously installed SP is not listed in the "revision history" tab, that release may have been pulled by HP due to some fauly behaviour or other issue!
Pay particular attension to the prerequisits as in some instances firmware updates have to be stepped (that is you can't always simply apply the latest).
And if you read such boaring stuff, the system firmware (BIOS) Installation Instructions tab would have given you a clue where the sp files are expanded to
Have you tried simply enter the command (as specified) via a command prompt window but changing directories to where the FWUpdLcl.exe file is located?
Just keep in mind that sp74202 is the initial ME firmware release so nothing sould update 
So best to apply the latest system firmware (BIOS), then the ME firmware, then maybe the latest ME software (under chipset drivers).
Best to bookmark this page which lists all the downloads for your z240 Windows 10 64bit tower system so check it out periodically.