Was this a "clean re-install", or a "repair reinstall" (ie over the top of the existing installation)?
1 SP3 does not "fry registries" - it's been out for ages, and all the XP systems I know (quite a lot - 50+) have it installed.
2 It's a good idea to backup your whole system never mind the registry. A good imaging program, such as Acronis True Image, or similar, is worth it's weight in gold.
3 "Hidden icons" are normally in the system tray (the bit of the taskbar on the far right. They are just the same as any other icons there - you can permanently "unhide" them, which is what I recommend.
4 Any firewall should not prevent you getting on-line, unless it's wrongly configured.
5 Just ignore Messenger - it's not worth trying to delete it - just use Live Messenger if that's what you want to use. Live Messenger is the newer.