It all depends on your level of paranoia! As far as I am concerned, MS have no interest in me or my computer - they checked that my copy of XP on my laptop was genuine, they authenticated it and that was that. They probably don't know nor care that I no longer use it.
Anyway, take a look at click here
The xp-AntiSpy is a little utility that lets you disable some built-in update and authentication 'features' in WindowsXP.
For example, there's a service running in the background which is called 'Automatic Updates'. I don't know what this service transfers from my machine to other machines on the internet, especially the MS ones. So I play it safe and disable such functions. If you like, you can even disable these functions manually, by going through the System and checking or unchecking some checkboxes. This will take you approximately half an hour. But why wast time when a little neat utility can do the same in 1 minute? This utility was successfully tested by lots of users, and was found to disable all the known 'Suspicious' Functions in WindowsXP. It's customiseable, but comes up with the Default settings, which are recommended.