How can I configure which icons Windows XP displays in the notification area at the bottom of the screen?

Right-click the taskbar and select Properties from the context menu.

Select the "Hide inactive icons" check box.

Click the "Customize" button.

Select the appropriate display behavior (i.e., "Hide when inactive," "Always hide," "Always show") for the icon you want to modify.
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Repeat step 4 for each icon whose behavior you want to modify, then click OK to close all dialog boxes.