"My concern is that I create a P: drive and install all my games and apps in there - so I don't lose the save files/settings if I wipe the OS, but surely some DLL's etc are placed in the Windows folders even when installing to P: - these will be lost when I reinstall the OS, also links in the start menu etc will be gone."
You are correct, the Registry will still be on the C: drive so anything you install on P: will still put files on C:
You can't win, you would still have to reinstall your apps again. Maybe one way round it would be:
Next time you do a complete clean install on C: (including all your apps) immediately make a copy of it on to P: using something like xxclone from click here and then do not use P: at all. The next time you need to redo the C: drive just make P: the boot drive, reformat C: and then use xxclone again to copy back again.
I have a completely separate hard disk with a copy of my system on it, but it is not connected. If anything goes wrong with my C: I can connect the clone drive as master and reboot. Then all I have to do is reformat the old one and clone it back again.
Sounds complicated but does that make sense?