Check the boxes for components that you do not want to remove for that screen. For example, checking the "Cameras and Camcorders" will prevent you from removing anything that will disrupt cameras and camcorders from working properly. Also note that anything in red
denotes items that may cause problems or instability if removed. I made about 5 or so "drink coasters" before I finally made a successful disc.
After that any boxes you choose will remove the selected components.
I was able to get rid of 300+ megs of bloat using nLite and add all the current hot-fixes and security patches after SP-2.
Go here to get a full package of updates and hot-fixes after SP-2 and integrate them into your custom CD. It has a tutorial for nLite as well, scroll down to the bottom for the Post-SP2 Update Pack.
Windows XP Post-SP2 Update Pack