You can obtain Windows XP Service Pack 3 in several ways. The most common of these outside of a managed corporate I.T. departments are:

Windows Update

This will download a 66mb file and is the best way to get SP3 on an existing machine that is regularly receiving Windows Updates.

Link: http://www.windowsupdate.com

Direct Download

Single File Download 316mb (aka Network Install Package for IT Professionals and Developers) This is the best one to download if you are installing on a brand new computer or have multiple new computers to patch up to SP3 quickly.

Link: Full file Download 316mb

Tip: Allow time for this install to take place between 30 to 60 minutes.

Tip: The Windows update version can appear to slow down and stop working during the download / install. Be Patient.

Tip: SP3 requires free hard disk space on the host PC. So make sure you have 5gig of free space before installing.

Other Things

Internet Explorer: There is some further reading in relation to how SP3 deals with Internet Explorer the definitive post on this issue is here.

Link: http://blogs.msdn.com/ie/archive/2008/05/05/ie-and-xpsp3.aspx

Can I slipstream SP3? Yes Paul Thurrott has written a guide here

Link: http://www.winsupersite.com/showcase/xpsp3_slipstream.asp

Again: I would hold off for a few days to wait and see if there are any XP SP3 horror stories. I have  heard of at least two machines with issues so far.