The Windows Update dialog box is controlled by the windows update program itself. It's a separate piece of software that you can activate and deactivate from the control panel.

Each icon that appears in the taskbar is its own program, and deactivating them depends on which program it is. You have to deactivate each of those programs on their own.

Regarding the one that says "new programs are installed"... I've never seen that one. Probably because I refuse to run XP. Perhaps you should try installing Windows 2000 instead?