There was a total of three service packs that were issued for XP the later being quite general meaning there was no major issues resolved. Autoupdate was able to solve most issues and if you know you have SP2 installed you do not need the SP3 which wastes your time downloading it and installing it to your system.
Should you have no Service Packs installed like with a fresh install, then you can go straight to downloading SP3 from the Microsoft website which contains all of the updates necessary contained within the previous ones. You do not need all three to ensure your computer is updated(unless you have a bootleg copy of the OS which would be very unlikely) for the updates sent though the internet may be sufficient to keep you safe online.