Actually this doesn't matter what OS you use, your IP is enough to obtain all the personal info about you from ISP and then take all the legal actions. But you have nothing to worry about as MS doesn't hunt individuals (again this is not cost-effective). And FBI doesn't care if you have "backup copy" of XP.
However, connecting to internet you may want to prevent from "certain" applications to access the Web. Windows update can be activated without your knowledge ! But you may set it accordingly.

So installing some sort of personal firewall (Zone Alarm probably the most popular) would block outgoing traffic from your machine. Also some software utilities spy on you (u c lots of posts about). Don't let to applications you know nothing about to access the Web.


Good luck
Chef