I beleive Microsoft calls that little area the "system tray." Some icons in there will represent running programs, some might be "Quick Start" icons, which are programs that keep part of their code in memory so when you start them they get up-and-running more quickly.

As Tom says, a right-click on the icon should reveal a menu that gives you options and information.

Another way to find out what's going on behind the scenes is to press Ctrl+Alt+Delete and then choose "Task Manager" (that's how it's done in xp pro, the home version may be a little different). The "Applications" tab and the "Processes" tab are most interesting (though Performance is often fun to watch too). "Applications" shows you the running stuff you can most likely see on the taskbar and are visible in a window. "Processes" shows you not only that but also a bunch of other stuff running without an associated window or any other visual representation.

If you see stuff in the Processes tab that you don't recognize, Google is usually a pretty good way to find out what it is, who put it there and whether or not it's a concern. Microsoft runs a LOT of processes in the background--most are required, though some may not be strictly necessary.

I try to do a lot of research on a process before I decide to take action against it. If that's the call, however, you may have to look in more than one place on your computer to find out how to delete it. You can end a process in the Processes tab, but that's not an uninstall and so it'd be right back again after you reboot (or even sooner, in some cases).

Sometimes you can get rid of something by simply going through the Add and Remove Programs box under Start...Settings...Control Panel. That's usually the safest way to do it if the option presents itself. Alternately, if an Options button is available when you right-click the icon in the tray, you may be able to easily configure the software so that is doesn't start up when Windows starts.

Under Start...Settings...Control Panel...Administrative Tools you can find the Services dialog box. Things are a little more involved in there. You can stop and start services, and also control how they react on boot...whether they start when the machine starts or whether they only start when manually called into action. Again, research is key to deciding if changes would be beneficial. Generally you don't want to delete any of this stuff, but some of it can be safely disabled.

In rarer cases, you might have to download an uninstaller to get something off your machine. And then there's the stuff that only comes off with a visit to the system registry, but I'd only consider doing that with either extremely explicit instructions or with an expert right behind me.

I can't recall ever seeing anything really nasty in the system tray. Usually that stuff is trying to keep a low profile. But you may have some *unnecessary* stuff in there that piggy-backed in on other stuff you actually meant to install. It seems to be getting trickier all the time to avoid that sort of thing.

Sorry this became so long-winded. And I probably don't need to point out that I'm certainly no expert, these are just some things I've picked up here and there over the years. There are undoubtedly many contributors here who know this sort of stuff much better than I do. Still, hope there was something useful in it.