For some changes you can edit the registry, but with these tools you can do this in an easy (and secure) way.
This is for Windows XP (sp 1 and higher):
This software is from Microsoft, don't be afraid to install it, but take a look at what are you doing.
|Old Tweak UI|
You can also use a new tool for Vista, Seven...etc, it's TweakNow Powerpack, downloadable from:
I used the first tool for removing the big arrow in the link icon on Windows Xp:
|A small blu arrow is better than the big arrow in the white rectangle.|
These software are secure, but pay attention changing settings.