[From Microsoft]
Microsoft SQL Server 2005 hotfixes are created for specific SQL Server service packs. You must apply a SQL Server 2005 Service Pack 2 hotfix to an installation of SQL Server 2005 Service Pack 2. By default, any hotfix that is provided in a SQL Server service pack is included in the next SQL Server service pack.
Cumulative Update 3 contains hotfixes for SQL Server 2005 issues that have been fixed since the release of Service Pack 2.
The article continues at http://support.microsoft.com/default.aspx/kb/939537
