The answer is quite a lot. This article gives the most complete list I've seen of what types of information Microsoft's Vista operating system collects and then sends to Microsoft. XP also collects information but not on this scale. Microsoft would certainly point out that this information goes into making their products better and their service to you more effective. That may not mean much to you if the government decides to collect these records -- as they have with searches on the major search sites -- or the RIAA figures out how to get them.