Balloon tips are the short descriptions that appear in a yellow callouts (balloons).  These can become very annoying.  To solve this problem, balloon tips can easily be disabled.
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Although you have told Microsoft Messenger to not turn on, you may still see a "Messenger" service running.  One way to turn it off and keep it off is to add some entries to the registry.  I have compiled the entries into a single file so all you need to do is run it.
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If you have a publicly accessible computer or a computer in a high security area, you may want to disable the right click so people cannot access the menu systems. 
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Autorun is a feature in windows which will automatically run a CD or DVD Disc when it is inserted in the computer.  This feature can be enabled and disabled.
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If you have unread mail in a program which Windows XP recognizes as an E-Mail program, Windows will try to alert you - for example on the logon screen.  This feature can be disabled and enabled as you prefer.
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