I thought this tip was a pretty good one.
Q & A
Tip of the Week: Getting Rid of That Nagging Balloon – New York Times
By J. D. BIERSDORFER
Published: February 21, 2008
If you’re tired of Windows XP nagging you to clean up unused icons from your desktop, you can pop that little yellow balloon for good. Right-click on the desktop and select Properties. Click the Desktop tab and then the Customize Desktop button. In the resulting Desktop Items box, remove the check next to “Run Desktop Cleanup Wizard every 60 days” and click the O.K. button.
This blog article, Disable Windows “Unused Icons” Balloon, also talks about it.