The funny thing with "turning off bells and whistles" is that it might result in worse performance in Vista. For example, turning off Aero also disables hardware accelerated user interface, resulting that user interface is drawn by the CPU instead of GPU/VPU.
Back to Windows XP. Turning off 3rd party programs such as anti-virus programs before running games is fine, but killing Windows processes such as explorer is completely unnecessary and might actually result in worse overall system performance. Don't go overboard with your "optimizations" as uneducated optimizations will make your PC's performance worse, if you have read and collected multiple tweaks from different sources, you might want to re-check whether these so called tweaks actually make things better or worse. I have tested many of the most popular "performance tweaks", and I have often come to the conclusion that default WinXP SP2 system settings are the best, there is hardly no need to do any system performance tweaks as many of these tweaks actually make your system performance worse.
The only thing in Windows XP SP2 that needs tweaking, are the system services. Many of the system services that are set to start up automatically, are unnecessary and thus can be started up manually by XP when needed. I have to stress that do not disable services in WinXP SP2 that have been set to automatic or manual, otherwise it may lead to unexpected behaviour. Setting services to manual is pefectly fine, as these services will be started only when they are needed. However, there are some important system services that should always be set to automatic, otherwise it may lead to unexpected behaviour.
SP2 is recommended update as it applies many fixes and updates to the core OS that are otherwise unavailable, forget any and all system performance tweaks you have collected and use the default XP SP2 settings. You may set many system services from automatic to manual and move XP's pagefile to another physical hard drive to improve paging file read/write performance but that's it, everything else is unnecessary. Of course, installed 3rd party programs that are running in background are entirely another matter.