What do the last few lines of your sqlstp.log report? It should be in %SYSTEMROOT%. You can go from SQL Server 2000 RTM (the CD) straight to SP3 without applying the others.... the Service Packs are cumulative.

As for the initial question, we're running Win2K3/SQL2KSP3 Active/Active. Experiencing some issues with distributed transactions and MS DTC, but we're working through them with MS.