As an experienced Windows user, I have my little set of "tools I use".  You probably do, too.  Here are the ones I think really improve productivity:

• Install SharpReader.  (Or your RSS reader of choice.)  RSS is really an incredible productivity enhancer.  Instead of surfing to tens or hundreds of sites in search of "what's happening", the information comes to you.  (See my RSS cookbook to get started, and you can download SharpReader here...)
• Install X1.  (Or your deskstop search tool of choice.)  X1 lets you instantly find email items, contacts, files, etc.  Really an amazing tool.  Unlike many utilities, this is one that really should be built into the operating system, but since Longhorn is at least two years away (and it isn't even clear whether Longhorn will include desktop search), use X1.  (I use an old free beta of X1 which you can download here...)
• Install Norton Antivirus.  (Or your antivirus tool of choice.)  On Windows you must have a good antivirus tool, and you must have it setup to automatically download updates.  I use 2003 because it is much faster and less intrusive than more recent versions, your mileage may vary.  By the way Norton Firewall or anything Norton Internet Security are not necessary, IMHO, if you have Windows XP SP2 they only get in the way.
• Install Stomp BackUp MyPC.  (Or your backup tool of choice.)  You do have current backups, don't you?  You don't?  So what will happen when your hard drive crashes?  Or when your laptop is stolen?  And I mean when and not if...  By the way, these days the best way to backup an entire hard drive is to another hard drive, via Firewire or USB.  Cheap protection.

Later: Wow, left out an important one:

• Install SpamBayes.  (Or your spam filter of choice.)  If you use Outlook this is essential.  This great tool is free, and integrates easily with Outlook.  Over time it learns what you consider spam, and does a terrific job of separating spam from ham with little fuss.  I've tried various commercial filters but SpamBayers is at least as good as any of them.

Here are some other things which aren't as important or dramatic, but which I use anyway because, well, I like them:

• Install Elprime Clock Pro.  A cool little analog clock which "floats" over your desktop.  Does anybody really know what time it is?
• Install Desktop Icon Save and Restore.  This is especially important if you have a laptop or you're a gamer, and you change screen resolutions often.  Very nice.
• Install Sysinternals Freeware.  Great tools.  I like Process Explorer (a great Task Manager replacement), File Monitor (what is using what files, and how often), and TCP Viewer (what is using which ports on the network, and how often).  Autoruns is nice, too (what runs at startup).  Amazing that all these great tools are free...
• Install Space.  The best visual disk space manager.

Any tools you use I should know about?  Please tell me.