I know this is an ancient thread, but there is NO need to install SP3. According to the
SP3 whitepaper, there's plenty of previously released functionality (as in patches which didn't go through windows update, such as mmc 3.0, msxml6, windows installer 3.1, BITS 2.5, IPSec policy update, DIMS, PNRP, RDP 6.1, and WPA2. So the only you'll need of probably
the WPA2 update.
then there's the new and enhanced functionality not available anywhere else, such as black hole router detection, NAP (which checks your computer for an up-to-date antivirus before connecting to corporate networks, CredSSP (for RDP), Descriptive Security Options Interface (The Security Options control panel in Windows XP SP3 now has more descriptive text to explain settings and prevent incorrect settings configuration), Enhanced security for Administrator and Service policy entries, Microsoft Cryptographic Module, Windows Product Activation (really useful if you don't have a hard copy of your key

.
So essentially SP3 is rubbish for most non-corporate users.