XP does have a yearning to "phone home", but only with your permission, and only for activation purposes.
Having said that, I use ZoneAlarm firewall, and it has twice reported that Internet Explorer was trying to act as a server, and the address it gave coincidentally happened to be that of Microsoft, Seattle. Make of that what you wish.
There are pieces of software, like download accelerators, that do include advertising spyware, as does ACDSee (if you let it), but these seldom hide the fact.
I do have further suspicions about the number of ports that XP likes to keep active, and have read up on it as much as possible, but i'm afraid there is little hard evidence!!!
EP, glad to see you come back and tidy up...did want to ask a one day favor, I want to enhance my resume , was hoping you could make me administrator for a day, if so, take me right off since I won't be here to do anything, and don't know the slightest about the board, but it would be nice putting "served administrator osnn", if can do, THANKS