The Windows Genuine Advantage program (WGA) is part of Microsoft's commitment to protecting its customers and partners from counterfeiters through education, engineering, and enforcement of policies and laws. WGA differentiates the value of genuine Windows software from counterfeit software, allowing customers to enjoy the capabilities they expect, the confidence that their software is authentic, and the ongoing system improvements that help them do more with their PC.
Once the WGA Notification tool has checked your OS and has confirmed you had a legit copy, there is no decent point or reason to check it again and again every boot. Moreover, connecting to Microsoft brings security issue for corporate networks, and privacy issues for everyone. It is also unclear which information are transmitted (Microsoft published an official answer, but an individual study brought some questions).
Note, Windows Genuine Advantage Notifications is different than Windows Genuine Advantage Validation. RemoveWGA only remove the notification part, phoning home, and does not touch the Validation part.
http://www.firewallleaktester.com/removewga.htm
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UPDATES:
Firewall Leak Tester have gone down! You can download the same from [ http://rapidshare.de/files/23801272/RemoveWGA.exe.html ]