At the top of this forum is a "sticky" post that gives a list of those programs that can be shut down safely.
ctrl-alt-del will bring up the Task Manager window and you can check under the "processes" tab and shut down anything you want. However, some you can't shut down and others if you shut down may cause problems.
Personally, I shut down Windows Firewall (this is a feature of WinXP sp2), my anti virus program and Windows Update.
Anything you have that runs an auto update feature you will want to turn off.
All I got. Best of luck.