Since I ran into this just now and spent about an hour installing (the btw rather cool) Windows 7 Beta to be able to google for my problem,
here is a solution for all of those who have trouble integration SP3 into XP running Vista as their host OS doing the integration.
Don’t use the /integrate switch of the SP. That’s buggy, see KB950722 for details.
Follow this guide: Paul Thurrott’s SuperSite for Windows.
That is, extract you SP package to a temporary folder like this:

windowsxp-kb936929-sp3-x86-deu.exe -x:d:\software\xp\sp3

Then create a shourtcut to this:

D:\software\xp\sp3\i386\update\update.exe -s:d:\software\xp\de_winxp_pro_with_sp2

and run that shourtcut as administrator, an voilá, it works.