NIST ( http://www.nist.gov/ ) has released a massivley sized document (807k) on Windows XP security. It's an amazing peice of work that goes beyond any other source of security for XP, so I highly suggest -anyone- using XP to look at it. For further information on NIST and CSRC's use and involvement with this document, read http://csrc.nist.gov/itsec/guidance_WinXP.html

No need to say much else, as the document itself is much more important.

http://csrc.nist.gov/itsec/NIST_WinX...1_07042004.zip



edit: Which reminds me. I'm sure it's been mentioned before, but might as well have it since it's use is as powerful as the above guide:

Free Windows Security Update CD
http://www.microsoft.com/security/protect/cd/order.asp