This is one of my favorite tweaks as it makes a huge difference to how fast your machine will 'feel'. What this tweak does is remove the slight delay between clicking on a menu and XP displaying the menu.
Go to Start then Run
Type 'Regedit' then click 'Ok'
Find "HKEY_CURRENT_USER\Control Panel\Desktop\"
Right click and select "Modify'
Reduce the number to around "100"
This is the delay time before a menu is opened. You can set it to "0" but it can make windows really hard to use as menus will open if you just look at them - well move your mouse over them anyway. I tend to go for anywhere between 50-150 depending on my mood.