Disable shadows, animations etc that just slow your computer down.
Right Click "My Computer" --> Select "Properties"
Go to the "Advanced" Tab, and click on "Settings" Button under Performance Section
Under the visual effects tab, select "Custom", and disable all of the effects that you do not specifically want. I like to keep the "Smooth edges of screen fonts" option.
Also - keep the use visual style windows and buttons checked if you want the XP look instead of the old windows 2000 look to the start menu and boxes.
Adjust your Page File -
Then go to the "Advanced" Tab
Under the "Virtual memory" Part of the tab, click the "Change" Button
Your page file should generally be 1.5 times the size of your physical memory in your computer.
ie if you have 512MB RAM, your page file should probably be 768 MB.
I like the "Initial size" set to the above amount, and the "Maximum size" set to around 2x the physical memory amount. (Larger than the initial size.)
If you have more than one hard drive, overall performance will increase if you create swap files on each of the drives. Try to put a swap file on your fastest hard drive.