You need to do what it says in the next step, number 3, of the instructions on that page, namely:
3. Use a compression utility, such as
WinZip, to extract the service pack to
a folder.
The WindowsXP-KB936929-SP3-x86-ENU.exe update file, which can currently be downloaded from the Windows XP Service Pack 3 Network Installation Package web page, is actually what is known as a self-extracting (SFX) CAB archive file, hence the .exe extension. If you run it, it will extract all the files it contains. Here's the file info from 7-Zip:

Many third-party archiving utilities, such as 7-zip, WinRAR, and WinZip, support CAB files and will let you manually extract some or all of the service pack files to a folder of your choice (as step 3 of the instructions indicate...although admittedly in a somewhat vague manner). I have verified that all three mentioned can open the update file.
To open it with one of these utilities first start the utility and then use its internal Open command to select the SP3 update .exe file you downloaded. Alternatively, you should also be able to right-click on the file and select 7-Zip, WinRAR, or WinZip from the context menu.
Personally I recommend the free 7-Zip archiving software. You can download the latest version from its home page: http://www.7-zip.org. You can purchase WinRAR from http://www.rarlab.com and WinZip from: http://www.winzip.com
Important Note: One crucial thing the linked Microsoft Support page doesn't mention at all is the fact that the service pack archive contents only include the file usbhub.sy_, which is a compressed version of the usbhub.sys file needed. You can uncompress and turn that into desired file by using the following command at the prompt in a console window:
expand -r usbhub.sy_
or if you're using 7-Zip, you can right-click on the file and use the utility a second time to extract the desired usbhub.sys file from it as illustrated below:

If all this is too much hassle, you can just download the usbhub.sys file I've extracted for you from the service pack.