Note that XP32 has 3 SPs, XP64 has 2.
On XP if you only have SP0, you need to install SP1 before you can install SP2 or SP3. I know they say they are cumulative but they are not. If you try to install SP3 from SP0, it will tell you that you need SP2. If you try to install SP2 from SP0, it will tell you that you need SP1. So you have to install SP1, then SP2, then SP3. If you are going to make a CD, put on SPs 1, 2 and 3.
Alternatively slipstream your XP installation so that you don't have to keep on installing SPs. (Google slipstream XP - there are lots of hits)
On XP32, after loading up SP3, if you then switch on automatic updates and link up to the internet, it will download another 128 or 129 updates that aren't in SP3. You can then switch off automatic updates. I haven't found these 129 updates rolled up anywhere but you should have the .exes once they've been downloaded.