Disclaimer: All of the downloads provided here are designed to improve the performance or security of your computer and are provided free of charge and free for personal use. However, many of them, if used incorrectly can do serious damage to your Windows installation and possibly cause loss of data. Use at your own risk.

Programs:

AVG 7.5 (Anti Virus Gaurd)
AVG Free Edition is the well-known anti-virus protection tool. AVG Free is available free-of-charge to home users for the life of the product! Rapid virus database updates are available for the lifetime of the product, thereby providing the high-level of detection capability that millions of users around the world trust to protect their computers. AVG Free is easy-to-use and will not slow your system down (low system resource requirements).
AVG Free Website

AdAware Personal 2007
With the ability to scan your RAM, registry, hard drives, and external storage devices for known data-mining, advertising, and tracking components, Ad-aware SE easily can clean your system, allowing you to maintain a higher degree of privacy while you surf the Web. This software is free for personal use and works well, I recommend using it in conjunction with Spybot below for complete detection and removal capabilities.
Adaware Website

Spybot Search and Destroy
Spybot - Search & Destroy can detect and remove spyware of different kinds from your computer. Spyware is a relatively new kind of threat that common anti-virus applications do not yet cover. If you see new toolbars in your Internet Explorer that you didn't intentionally install, if your browser crashes, or if you browser start page has changed without your knowing, you most probably have spyware. But even if you don't see anything, you may be infected, because more and more spyware is emerging that is silently tracking your surfing behaviour to create a marketing profile of you that will be sold to advertisement companies. Spybot-S&D is free, so there's no harm in trying to see if something snooped into your computer, too :)
Spybot Website

Windows Malicious Software Removal Tool
The Microsoft Windows Malicious Software Removal Tool checks computers running Windows XP, Windows 2000, and Windows Server 2003 for infections by specific, prevalent malicious software—including Blaster, Sasser, and Mydoom—and helps remove any infection found. When the detection and removal process is complete, the tool displays a report describing the outcome, including which, if any, malicious software was detected and removed.

Messenger
With MSN Messenger you can chat online via text, voice, mobile phone or even video conversation -- in real time -- with your friends, family, or colleagues. Express yourself with winks and dynamic display pictures or share photos, files, searches, and more instantly. You can also chat with your contacts to and from a mobile device. Get MSN Messenger now! It's FREE!

TweakUI
This PowerToy gives you access to system settings that are not exposed in the Windows XP default user interface, including mouse settings, Explorer settings, taskbar settings, and more.
Version 2.10 requires Windows XP Service Pack 1 or Windows Server 2003
More PowerToys

RegCleaner
RegCleaner is a tool to optimize your system Registry--the most important part of Windows. It finds and removes errors in your Windows Registry, reducing application crashes, and thus enhancing the performance and reducing sluggishness. It cleans all parts of your Registry, yet it is safe, using a built-in ignore list to prevent important entries from being listed. It allows undo, has expert/normal modes, and is very fast and powerful.

This is an older version of the program that was freely distributed. I have been using it with Windows XP for a long time without any trouble.

WinASO Registry Defragmenter
WinASO RegDefrag performs physical de-fragmentation of the Windows registry file. After de-fragmentation your registry will acquire linear structure, which will reduce application response time and registry access time.

User Profile Hive Cleanup Service
The User Profile Hive Cleanup service helps to ensure user sessions are completely terminated when a user logs off. System processes and applications occasionally maintain connections to registry keys in the user profile after a user logs off. In those cases the user session is prevented from completely ending. This can result in problems when using Roaming User Profiles in a server environment or when using locked profiles as implemented through the Shared Computer Toolkit for Windows XP.

Registry Modifications:

Google search from the address bar

Clear Pagefile on exit

Show all devices in Device Manager

Increase Internet Explorer downloads to 10

Add "Move to" and "Copy to" to context menu

Purge cache on reboot

Add a special folder to "My Computer"

Fix Remote Desktop Printing

Standby Fix