I was thinking of these MS-let-me-phone-home routines that are plentyful in Win2k but even more (and more difficult to find out where to disable) in WinXP. Will be a too long list to explain here, plus there are a lot of extras suspected but strongly denied by MS that are not documented. In short, if you just setup and don't change anything, you can be pretty sure that after a very short time big brother MS knows your machine and all of the installed programms with all serial numbers, including the processors' serial if you have a Pentium, better than you do.
For complete info and remedy check out
www.XP-antispy.org, a german site but the most important things (like the "downlaod" link
where an english Version of the program is available) are translated. There is probably a similar english site, but I just don't know any.