I would head over to the discussion here;
http://forums.cnet.com/5208-6142_102-0.html?forumID=5&threadID=285565&messageID=2715153&tag=posts;tree#2715153

and see what others have tried.

If the download is getting corrupted, try downloading the SP3 file manually;
http://www.microsoft.com/DOWNLOADS/details.aspx?FamilyID=5b33b5a8-5e76-401f-be08-1e1555d4f3d4&displaylang=en
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.

Mark