• If your CPU is running warmer than it should it will slow down to protect itself. I found this to be very common. (more here)
• Make sure you have at least 5 gigs of free space on the drive that Windows is on.
• Make sure you do not have any viruses, spyware, adware and malware on your computer (see extra info here).
• Run a good disc defragmenter (see extra info here).
• Make sure you don't have any programs starting with Windows that aren't needed (this is often a problem, see extra info below)
• If you can, have Windows on it's own partition all by it's self (see extra info below).
• Turn off some or all of Windows animations (see info below).
• Make sure you have enough memory, 512 megs will work but to have your computer run efficiently you should have at least 1 Gig.
• Remove optional Windows components that you don't use (see info below).
• Remove installed programs that you no longer use.
• Clean up your registry, this should only be done by an expert, don't trust a program to do this. (more info here)

Overheating:
If your CPU (Central Processing Unit, i.e. Pentium IV, Pentium III, Core 2 Do and so on). is running too warm it will slow down to protect itself. This happens from dust getting into the heatsink and on the fan blades or it can be caused because it's too hot inside your computer case also caused by dust on fan blades. Another cause of this could be that your fans are getting old and not running as fast as they did when new. You should make sure the CPU heatsink is clean, all fans are running as they should and most of all make sure you have enough air flow through the case.  Warning: Only a qualified person should remove the CPU or the heat sink from the CPU.

Removing viruses, spyware, adware and malware:
I have not found any antivirus/antispyware program that will remove all infections. What one leaves behind another will find but what that leaves behind another will find, but I've never seen one that can remove all instances of all infections. What I do is use special programs that will show me everything on your computer then I need to manually remove the infected files and references to those files in the Windows registry. Making changes to the Windows registry is very tricky, one wrong addition or deletion will leave Windows unable to run so only experts should work in this area.

Defragmenting your hard drive:
Windows comes with a disc defragmenter but it is not that good. If you want to truly have your computer run as efficient as possible you should buy a good defragmenting program, I recommend Diskeeper2008 Pro.

Windows start up:
This can be tricky, you don't want to stop the wrong program/file/.dll from starting with Windows or you might disable a needed feature. This should only be done by someone that knows what they are doing.

Windows on a separate partition:
Putting Windows on a separate partition has two benefits. First, it will help Windows run faster and more efficient. It will also protect your data in case you ever need to re-install Windows. If you have Windows on your C drive, for example, and all your other data on your D drive then Windows goes bad (virus or any other problem), you can format C and re-install Windows without loosing your data that is on D. As far as speed goes, When Windows is working and needs to find a system file, it only has to wade through it's own files, not all your pictures, videos, documents and so on, thus, speeding up the process.

Windows animation:
Windows has all kinds of visual effects that slow down your computer. Sliding menus in and out, animating a window to the task bar when minimizing, sliding the buttons on the task bar and so on. These are useless, it's just for looks and can slow Windows down so it is suggested to turn them off. The only visual effects I keep on are "show contents while moving window" and "Use visual styles on windows and buttons", the first helps me place the window where I want them easier and the second just makes Windows look nicer to me, my preferences.

Unneeded Windows components:
Windows includes many components that you may not be using, these should be turned off. These are components such as MSN Explorer (most people are using Internet Explorer or Firefox or both, but hardly anyone uses MSN), Outlook Express (this is not needed if you use Outlook or an online service like Yahoo mail, Google mail or a similar email), Windows messenger, Fax Services, Indexing Service, Internet Information Services, Management and Monitoring Tools, Message Queuing and so on.

Windows registry:
This is an area that should only be handled by someone who knows what to do. DO NOT use registry cleaners, they are not 100% accurate and could render your Windows useless. I don't want you to take my word for this, so here are some articles:
Ed Bott's opinion
miekiemoes' Blog
From Spybot Search & Destroys site (very informative)
Wikipedia
Ask Leo