I installed SQL Server 2005, and I want to install service packs, I have service packs 1, 2, 3, but I want to know, Is it different to install just service pack 3? or I should install first SP1, the SP2 and finally SP3?


You can just install service pack 3.

The download page for SQL Server 2005 SP3 states:

SQL Server 2005 service packs are cumulative, and this service pack upgrades all service levels of SQL Server 2005 to SP3.

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