Go here http://www.microsoft.com/downloads/details...08-1e1555d4f3d4
That is XP SP 3, to burn on a cd. You save it to a file or folder. Then using a cd burner, burn a ISO image of this. Free program, cd burner xp is available from filehippo.com. Nero would work, as others. But needs to be an iso img.
That way you have only ONE download, and a cd to work with.
I assume you have SP 1 and SP 2 installed with no issues.
Have you done a malware scan with Malwarebytes (Free) or Superantispyware or a similar program recently. Just to be sure...