I'm guessing you are talking about the programs in the system tray (next to the time), and that you are talking about on startup. If you are not talking about on startup, then you can usually remove icons from the system tray by right clicking on the icon, and choosing close, quit or exit.
There are two places where windows allows these to load from. From the startup program group (start button, Programs, Startup) and in the registry. The registry is a large database of settings and characteristics for how programs and windows behaves when run. There are a number of places in the registry that can load things on startup, and luckily, most versions of windows have a tool that gives you access to these. Try going to start, run, and type in "msconfig" without the quotes. Then click "ok" and you should get a new window (System Configuration Utility). Click on the "startup" tab and that will give you a list of items that are loading on startup.
It's a good idea, though, to thoroughly research each item that you plan to remove before removing it. You could inadvertently remove a program that your computer needs to be stable or function correctly. For example, some sound drivers, or video card software.... even anti-virus software will load in these places. So, what I mean is, make sure you know what you are removing before doing so....
EDIT: Yeah, What He Said Above