Wine is a compatibility layer. It duplicates functions of Windows by providing alternative implementations of the DLLs that Windows programs call, and a process to substitute for the Windows NT kernel.
WindowsXP-KB936929-SP3-x86-ENU is downloaded automatically by Play On Linux. Play On Linux uses pre-made custom scripts to install software. For instance if you would install
Command And Conquer: Red Alert 3 the log file shows, amongst a lot of other lines this:
09/17/12 13:46:15 - [POL_GPG_install_key] Message: Importing PlayOnLinux public key
09/17/12 13:46:16 - [POL_Source] Message: POL GPG : Good signature
09/17/12 13:46:16 - [POL_Download_Resource] Message: Downloading resource
09/17/12 13:46:23 - [POL_Download_Resource] Message: Resource already present
That file is needed for service pack 3 and holds fixes or changes to network tools.