On 25 Feb. a nice set of documents used by Microsoft in aiding the law enforcement authorities with forensics related to Windows Vista and Window 7 were leaked and first published on Public Intelligence.
They are a good read and explain a lot of what Microsoft does and does not do to keep your privacy in place and what kind of risks you are exposed when using these two operating systems and with a little background in security you can start defending your privacy better.
The documents provide a great forensic insight and if you do care about your privacy then you should read them.