NOTE... Microsoft has realeased SP3 for Windows XP, so now you can get it through Windows Update or by downloading the package on the Microsoft Website. Here's how I managed to get it way before it was officially released...
I went to this website and downloaded the command file. I ran the file, restarted windows, then went to the Windows Update site with IE7 (Internet Explorer 7). I selected custom install, selected SP3, downloaded, installed, rebooted, and I had Service Pack 3! Try it yourself! Have Fun. Remember... This command is a registry hack, so it actually makes Microsoft think you're a beta tester, so you might even have early source to other things :). Also remember that the SP3 download you're getting is a Beta Release Canidate.