Service Pack 3 doesn't come with IE7 or WMP11.
To create a integrated copy with both of them you:
Copy you Windows XP cd to say: C:\WXPCD
Go into Command Prompt and go to the folder where you have the SP3 file and type "WindowsXP-KB936929-SP3-x86-ENU.exe /integrate:C:\WXPCD"
Download this program:
http://web.clicknet.ro/boooggy/
And follow the instructions for integration, I added all the latest Windows Media Player Hotfixes also, there are 14.
After that you donwload nLite:
http://www.nliteos.com/download.html
And then you download IE7 integration pack here:
http://www.ryanvm.net/forum/viewtopic.php?t=4289
Take the alternative one, worked perfectly for me.
In nLite pick the options you want (like removing components you don't need) and also Integrate Hotfixes, there you add the IE7 pack.
After that is done you'll have a customized Windows XP SP3 + IE7 + WMP11
EDIT: Also if you look carefully you'll see that you can enable UXTheme.dll hack as well as the TCP/IP hack. I don't recommend disabling the Windows File Protection unless you have some kind of reason for doing so