What is this separate site you're going to to install SP3? Is there a reason you're not going through Windows Update? It's not like Windows Update didn't exist before SP3.

...now that I think about it, MS did change where Windows Update was located in SP3, I believe in an effort to make it match Vista/7 (and make more sense). They moved it into the control panel where everything else was, and clicking on it presents a window that matches other control panel items.

Prior to that, it existed in the control panel, but it was on the menu bar on the left-hand side. Clicking on it would open IE and direct you to the Windows Update website.

It is possible to get service packs and individual updates from Microsoft's various knowledge base pages, but the easiest and pretty much most sure-fire way of doing it is through Windows Update.

Pardon me if I've misunderstood part of your post, but that's the suggestion I have: go through Windows Update. It will present all updates in the order Windows wants them.