I just now starte-- the heck.. it asked for my XP SP2 CD...
System components like fax and modem services, calculator, paint, internet explorer, etc, can be modified through a button on the disk cleanup menu that takes you to Add/Remove Programs that's probably why it asked. Just incase you decide to uninstall paint or something (which I would recommend against).
It's been a while since I've had to do this on an XP machine but you should be able to skip the disk part and still be able to clean up stuff.