Open Regedit and go to:
[HKEY_CURRENT_USER\Control Panel\]
Add a key named Don't Load 
Next add String values within the "don't load" Key. You will use one String value for each control panel applet you want removed. For example, if I want to remove the System applet I will make a string value with the name sysdm.cpl and no value set and the System applet will no longer be available under the Control Panel.
To restore a full control Panel to default just delete the "don't load" key.

Here are the Windows XP Pro Control Panel applets:
System Properties = sysdm.cpl
Network Connections = ncpa.cpl
ODBC Administrator = odbccp32.cpl
Display Properties = desk.cpl
Add or remove programs = appwiz.cpl
Internet Properties = Inetcpl.cpl
Game Controllers = joy.cpl
Phone and modem Options = telephon.cpl
Time and Date Properties = timedate.cpl
Region and Language Options = intl.cpl
Power Options = powercfg.cpl
Mouse Properties = main.cpl
Accessibility Options = access.cpl
Add Hardware Wizard = hdwwiz.cpl
Sound and Audio Devices = mmsys.cpl
User Accounts = nusrmgr.cpl
Speech Properties = sapi.cpl