Launchy (free/donationware) makes it easy to quickly launch programs. Hit Alt-Space to bring up its tidy little program window, and type in the name of a program in your Windows Start menu. Launchy closes, and brings up the requested program.
Some included plugins extend the utility's out-of-the-box capabilities, such as one that can handle basic calculator tasks, and another that allows for opening your Internet Explorer and Firefox bookmarks as you would a program. Reading Firefox bookmarks requires taking a quick step to enable bookmark exports (the steps are described in Launchy's help document, which is accessible online or from Launchy's start menu folder).
These initial features will by themselves make using XP a good deal smoother, but if you're willing to dig in a little, Launchy can do plenty more. For example, you can tell Launchy to add the contents of any additional directory--be they programs, music files, or most anything else--to its catalog of launchable items. You can also use an included plugin called Runny to create custom commands, such as starting a program with an additional typed parameter.
Launchy sports a nice set of options, including choosing a different program skin or transparency level. The app will by default start automatically with Windows, with an icon in the system tray.
Technical users will get the most out of Launchy's more advanced features, but it's a useful tool even without changing a thing. It's written for Windows XP (with Linux and Mac OS X versions also available), but Launchy may work on other Windows versions as well. And if you want to try another well-made, easy-to-use program launcher, check out Enso Launcher.