I think you are advised to turn off your Anti Virus software before installing SP3.
Note that some people have had problems after installing SP3 (as you would expect with any large update) so make sure you have backed up important files BEFORE doing the install.
if you run the install - rather than downloading the whole thing .... it will check your system to "make sure" the update will be ok.
as vhg says though ... nothing is certain - especially with microsoft .... but it's been around a while now ... and there hasn't been a huge amount of disruption.
It may not be related, but Ii installed XP Service Pack 3 last week. Afterwards I experienced screen 'freezing' to the extent that it was impossible to load many websites. After two days I uninstalled Service Pack 3 and so far have had no problems for the last threee days. As I said - may not be related but . . . . . . .