I bought a couple of cards and when I inserted one in the camera and turned it on the display indicated a "card error." I tried turning the camera on and formatting the card, but the card wouldn't format. It tried, but then showed the "card error" message again. I tried to email a question to FujiFilm about the compatibility issue but the form failed when I submitted it. So I was about to give up when I decided I'd try taking the batteries out of the camera. I did that. Then put in the new 2GB card and turned the camera on. That did it.
So, yes, the 2GB M+ card will work with the S5200 camera. No firmware update is needed, but you'll probably need to take the batteries out of the camera before you swap the card.