bitwisexor:
"If I had to (which unfortunately I have had to on a few occasionas) 'secure' a Windows box then I'd start by disabling all the unneeded (and theres a lot of that!) junk on it - which Microsoft seems to have intentionally made a harder task."
Maybe you meant this: (posted few months ago from me)

I thinkg MSN messenger and others application in Windows XP that I find useless to have it installed can be uninstalled completely from system and register by this very nice utilities: nLite or XPLite. Also I recommend to switch off several services that XP is using when running but for a common user they are useless and can only caused vulnerability and problems of system.
You can uninstall at least these applications (from register):
Advanced Components:
Active Directory Services,
Distributed Link Tracking Client,
Error Networking Service,
Network DDE,
Secondary Logon,
Web Client,
Windows Time,
Internet Authentication Service,
Microsoft Message Queuing,
all MS Networking Services (Alerter, Computer Browser, Messenger, Microsoft Network Redirector, Net Logon, NT LM SSP, RPC Locator, Server, Server Message Block Redirector, TCP/IP NetBIOS Helper, a Workstation),
System Restore (I can tell you this is very dangerous app.,
Terminal Services.

Accesibility Options:
Accesibility Mouse Cursors,
Accesibility Wizard,
Magnifier,
Narrator,
On-Screen Keyboard,
Utility Manager.
Communication and Messaging:

Addres Book,
Fax Service,
Chat,
NetMeeting,
Outlook Express,
USR/3Com modem drivers,
Windows Messanger,
(Wireless Zero Configuration).
Internet Utilities:
Internet Connection Wizard,
Internet Explorer (!) (use Opera - now is free or Firefox, or Maxthon)
MSN Explorer,
VB Script for MSIE,
Windows Automatic Updates (místo používání Windows Update
Windows Update Manager,

Multimedia:
ATI SP1 driver.
Common Files,
Dokumentace,
Modul snap-in IIS,
service FTP,
web service,
Operating System Options:
Clipbook (Cltr+C, Cltr+V, Ctrl+X will still function),
Help and Support Center,
Microsoft Agent,
Out of Box Experience,
Program Compatibility Wizard,
Search Assistant (instead of it use Copernic Desktop Search),
System Information,
Windows Tour.

Server Components:
Indexing Service,
Indexing Service Language resources.

System Services:
Remote Registry,
Smart Card Services,
Telnet Service,
UPS service,
Universal Plug and Play (UPnP).

System Tools and Utilities:
Briefcase,
Dr Watson,
Files and Transfer Wizard,
Remote Assistance,
Security Center,
Security Center Background Service,
Task Scheduler,
Windows Script Host,
ZIP Compressed Folders.

You don´t expected it can be so much :) Am i right?
Just wait few minutes, then reebot and your system will boot much quickier and safe.

And thanks bitwisexor for your comments