Windows XP Hacks: These O’Reilly “Hacks” books are first-rate. Here’s an excerpt from the Windows XP book, and there are some great little tips here.
“The book delves into XP topics such as controlling the control panel, changing unchangeable icons, removing uninstallable XP components, stopping pop-up ads, taking a bite out of cookies, speeding up file downloads, protecting yourself with firewalls and proxy servers, and more.”
Even if you don’t use the hacks as they’ve written them, they give you enough information to show you what’s possible, and you can tweak from there. Reverse engineering is king.