The XPS Essentials Pack installer (available via www.microsoft.com/xps) does not currently support Service Pack 3 (SP3) of Windows XP.
To enable XPS support on Windows XP SP3, you can install the XPS Essentials Pack prior to upgrading to SP3.
In the end of Oct 2008, XPS team has released a new updated. This update fixes a problem with the installer where it failed to recognize a newer version of Windows Imaging Component (WIC) that is included in Windows XP SP3. Also included is an update to the latest version of the XPS Print Path, as well as including a number of improvements to the print path, this update corrects an issue with the components previous included in the essentials pack that prevented component servicing.
To download the installer see http://www.microsoft.com/whdc/xps/viewxps.mspx.
P.S. You cannot get this download from http://www.mircosoft.com/download.