>> can I upgrade direct to Exchange SP3 without having to install Exchange 2007 SP2 first?
Yes.
>> Is Exchange 2007 SP3 supported on windows server 2003 R2 SP2
Yes. Exchange 2007 was originally supported on Server 2003 / R2 so patching it on that OS during its support phase is definitely a must.
Before you go about patching anything, I'd certainly make sure you read the release notes:
http://technet.microsoft.com/en-us/library/ff607233(EXCHG.80).aspx.
-Matt