I will give a rough overview of the most prominent features. You can disable those nasty balloon tips and the warn on low disk space message in the taskbar tab. The same tab has a list of all start menu entries which are currently displayed and you can disable the ones that you do not need. The desktop tab lists five usual icons that are placed on the desktop like the trashbin or the internet explorer which can be disabled from that tab.

The My Computer tab makes it possible to disable drives and autoplay from windows xp. You might remember that Sonys rootkit infested music cd installed itself using the autostart feature, definatly recommended to be disabled. Templates shows all New File dialogue options that appear when you right click and select New on your desktop. Remove the uneccessary ones and create new ones.

The logon tab finally gives you the ability to autologon into windows which means that you do not have to enter a password or choose a user from the user selection menu.

Update:

TweakUI, or Microsoft PowerToys, seem to no longer be available on the Microsoft website. Downloads were previously offered for Windows XP users to download the software to the local system. TweakUI furthermore has not been made available for Windows Vista or newer Microsoft operating systems. Windows users on those systems can install an alternative like the Ultimate Windows Tweaker.