For those that don't trust Microsoft, and who does ? Here is a tool that is able to change the configuration of your system automaticly so it does not send data to Microsoft.
Here are some of the functions that are disabled by the software:
Services: Dont start service for Errorreporting anymore - Open the Explorer, select 'Control Panel' double click on 'Administration' double click on 'Services' double click the entry 'Automatic Errorreports' and select 'Disabled' as 'Starttype'.
Services: Dont start service for automatic updates anymore - Open the Explorer, select 'Control Panel' double click on 'Administration' double click on 'Services' double click the entry 'Automatic Updates' and select 'Disabled' as 'Starttype'.
Errorreport: Dont report errors - Open the Explorer, right-klick on 'My Computer' and select 'Properties', klick on the Tab 'Advanced' and klick the button 'Errorreports', in the upcoming dialog uncheck all 3 items and select 'Disable Errorreports'
Explorer: No Remotedesktop support - Open the Explorer, right-klick on 'My Computer' and select 'Properties', klick on the Tab 'Remote' and uncheck all Items (there are 2 of them)
Source: XP anti spy