to keep in mind that Microsoft isn't remotely interested in the contents of your letter to the Gas company about the way the meter reader was so rude to your dog when it bit his ankle.
It would be up to you to decide just how much (or how little) information was sent to Microsoft in this scenario, so the data protection regulations wouldn't be involved - apart from the obvious fact that Microsoft would necessarily have to reassure its customers about the ways in which the company would handle the information it received from any error-reporting component in the next version of Windows (Longhorn).
When you think about it, such a system as the one described in the article is nothing short of amazing, and in my opinion it's the key to Microsoft's ongoing good relationship with its user-base. I for one would welcome this development, and I would have no qualms about the security of my data. If I'm going to trust anyone in this way it will be Microsoft every time.