I am just downloading xp-3 now. I never installed it but I am sure that what I'll say is correct just as it is to the installation of sp-2.
The file you mentioned is regarded by some as malware. I suggest that you run a thorough scan for malware with some good antimalware programs to make sure that the computer is clean. You may run the initial steps recommended in the malware forum of GeeksToGo. A link to the forum is available in my signature.
After the malware scans run disk cleanup and disk defragmantation.
Switch off your modem or router and disable your antivirus and other antimalware programs that run in the background. That is usually done by right-clicking the icon on the task bar and choosing to disable or exit the real time protection.
Now install XP-3.
When finished, reboot the computer and turn the modem on.
Have a look at this link
about what Microsoft recommends about the installation process.