I wrote an e-Book about how to speed up your Windows XP. Step by step illustrated guide with screen shots. I've decided to give it away for free. It has been tested by me personaly and few other Network Engineers and it works pretty good if you follow it step by step.
You can download it for free here: Windows XP Tweak Illustrated Guide
I also have bunch of other e-Books for free at my site if anyone is interested. Just click on my signature.
Enjoy and happy tweaking