Of course XP is spying (if that's what you mean), but boy MS knows better ways
The applications attempting to connect to Internet are networking services (just like in W2K I assume, since built on NT kernel ), like DNS, RRA, WINS that are trying to establish connection with the rest of the network, considering Web a part of LAN ...
If you'll check the log you'll see what is trying to access, so sort of false alarm here.
In other hand, IE has all the tools for sending your registry info far far away


Cheerio
Chef