Go to
[HKEY_CURRENT_USER\Control Panel\]

add a key named "don't load" (minus the quotes of course)
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, I want to remove the "System" applet once I configure my Paging File to Performance settings as well as Restore functions and more - 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