I would head over to the discussion here;
and see what others have tried.
If the download is getting corrupted, try downloading the SP3 file manually;
and installing it yourself.
If that download fails, get someone else who has a broadband connection to do it for you, and burn the file to a CD/DVD.
I try to install Windows XP Service Pack 3, but whenever I finish the update I always get the following error:
"Some updates could not be installed
the following updates were not installed:
Windows XP Service Pack 3 (KB936929) "
...Why the hell is this? lol
Btw this is for Windows XP