You can go to msconfig (Start, Run, then type in mscofig), then go to the Startup tab. This will give you a list of the files that run and clear up some of the mystery. Some programs also start up from other location. This is all with Win98 but you should be able to find the same info with XP. Basically, you can usually (not always) close most everything except SYSTRAY and EXPLORER. It really depends on the individual computer and what the open programs are doing.

Also, you should be able to close most if not all the programs that show up in the system tray in the lower right of the screen.