Just upgrade directly to SP4. Service packs are cumulative. Each
successive service pack includes all the fixes from previous Service
packs. SP4 includes the fixes in SP1, 2 & 3.
After you install SP4 there are other *very* important fixes to apply.
Make sure that you have a properly configured firewall before you
connect the machine to the internet or else you are almost guaranteed to
be infected by a pest of one kind or another within 5 minutes of
connecting to the net!