Putting a personal software firewall up will not stop the XP info from going to Microsoft
But what if you had a firewall running on another machine that blocked all traffic to Micro$oft? Wouldn't that do it? You just wouldn't be able to go to the M$ website, check your hotmail, etc.

I know this would be unreasonable for some people but if you stay away from Micro$oft's stuff anyway then it's not much, if any, of a loss