Hi,
I've had this problem with both XP original and XP with SP1a, used to slowly loose upto 3 TaskBar icons, like:
1. Download Accelerator Plus (5 and 7)
2. ADSL usage meter
3. TweakXP's Pop-Up blocker
I think I've narrowed it down to XP's
UPnp.
I've tested with UPnp disabled and/or un-installed.
To disable UPnp, you can visit here:
http://grc.com/UnPnP/UnPnP.htm
To see if you have it installed, goto: (assuming running xp with SP1)
Start/Control Panel/Add-Remove Programs/Add-Remove Windows Components/Networking
Cheerz