The answer to your question about installing Active X controls from the windows update page is that if you don't the quick scan (to check for available updates) won't work....If you are downloading from the OFFICIAL updates page there should be no problem.
As far as SP3 is concerned, there have been a few issues with people installing it on some AMD systems. It mostly has something to do with on how the manufacturer set up the operating system. I used update and installed it with no problem.
I did De-fragment, run anti-virus and anti-spyware scans before doing so along with starting a restore point (in case something went wrong). The other things to consider are to un-install IE7 before updating. As it stands right now, if you don't do this you won't be able to un-install IE7 (if you have problems with it) without un-installing SP3 first...Minor inconvience IMHO.
Check out this thread for more information:http://www.bleepingcomputer.com/forums/ind...rt=#entry820837