MIne doesn't
Wasn't sure if February's XP update included a patch... I guess it did. Didn't have to reset it, though I did resynch it with the Naval Observatory, just for the heck of it. Now I'm using it as the standard to re-set the other clocks in the house.
As far as I know, Arizona remains in denial about DST. So do the other states (or parts of them, like Indiana) -- they're just not participating three weeks earlier now.