I recently downloaded and installed Exchange SP3 on SBS2008 and this is how it went.
Firstly you need to disable Forefront Security for exchange.
Then when i proceeded to double click on setup, But I couldnt see the gui for the installer so I installed it by running an elevated command prompt , changing the current directory to my Exchange SP3 Folder and running this command Setup.com /mode:upgrade
The installation takes a fair bit of time , so it needs to be left alone.
Once completed ,reboot the server and then re-run internet address wizard as sometimes RWW and OWA can loose their bindings.
Also it installs a self signed cert, so if you have a trusted cert you will need to re-enable it via exchange management shell.