The "rule of thumb" that I use: SP3 is KB936929, if the KB number is lower than that, I install it prior to installing SP3. Of course, some KB's are superceded and/or installed by SP3. I try to do the Rollups, first. For Rollup 2, I had problems getting it to install. The solution was to extract the contents of the Rollup package, and install the KB's seperately, rebooting between each one.