1. First, run a scandisk or checkdisk. Let Windows fix any errors.
2. Run a disk cleanup utility...this will flush your temporary internet folder, trash can, temp system files, etc.
3. Delete any garbage files or data...if possible, run a Duplicate File Finder program.
4. Run Defrag on all partitions (NOTE: run this after you have deleted all trash and excess files!)
5. Run a registry cleaner utility and delete or get rid of any orphaned entries in that registry.
6. Check your exisiting swap file for it's size and location (*will explain location later in the post). If you have alot of ram (i.e. 1 gig and over) set this swap file to something small, like 250 mb. The reason is that this will force Windows to load more into memory, resulting in faster performance (note: some games and applications actually require a certain sized swap file so check your applications performance after making a size adjustment for any error messages.)
7. Under XP, you can tell Windows to use Classic Style on your desktop, - this will remove the neat single click and internet-style desktop but for lower end systems this will improve performance in other areas, such as gaming and multi-tasking.
8. Run msconfig and under startup and only keep the programs that are essential to load in the tray icon (and hence stay resident in memory). Uncheck anything else non-essential, like an ATI or Nvidia control panel, Quicktime utility, Real Audio, etc.
9. Upgrade drivers! Check for the latest BIOS, video, motherboard, sound, etc drivers from the manufacturers. Alot of my friends had chipsets on their motherboard that had advanced disk management capabilities or AGP port settings but the drivers weren't loaded for them so they were never being used. A simple upgrade realized a noticeable difference. For instance, they didn't have the latest driver for their AGP port so it was set to 1x, instead of being used at 4x!
10. (OK, so this won't speed up your PC but it could save you alot of time and trouble later on!) After making all these improvements, make a working backup! I use Ghost, but for XP users you can also use System Restore...