When I use it, Windows XP seems to get in my way more than other OS's. Over time, I've managed to tame it, but the things I had to resort to were not always the most obvious:

Removing "Help & Support" from the Start Menu: Though I can't seem to find it right now, I recall the XP (two-column) start menu having an option to hide this command. Unfortunately the Classic Start Menu (which I prefer) didn't have a visible settings for this. The solution is to run the Group Policy Editor (gpedit.msc) and navigate to Computer Configuration -> User Configuration -> Administrative Templates -> Start Menu and Task Bar. There is a setting called (helpfully enough) "Remove Help menu from Start Menu." Change its state from "Not Configured" to "Enabled."

Getting the Task Manager to run at startup minimized: Maybe as a Mac OS X user I'm too thick to understand what the "Minimize on Use" option does (subsequent launches still make the window appear). To get the Task Manager to launch minimized at startup reliably, I've created a shortcut startup item with the target C:\WINDOWS\system32\cmd.exe /c start /min "Task Manager" taskmgr.exe

Auto-login at startup: TweakUI (which has other great uses too) has an option (Logon -> Autologon) for enabling this time-saving (though security-decreasing) feature.

Replacing Notepad.exe: Don Park had this great tip on how to replace Notepad.exe with a more useful tool (SciTE in this case). The only caveat is that the default Notepad.exe actions (and Windows in general) don't place quotes around the command line argument that specifies which file to open. Since SciTE supports multiple arguments, if it's passed a path with spaces in it, it gets treated as multiple files. The solution is to edit the actions for all relevant files (.txt, .html, etc. - this can get rather tedious but I've yet to find where (if anywhere) this setting's default value comes from) and add quotes around the %1 (file) argument.