Just an FYI
If you're installing Windows XP w/SP2 and If you've run into the "should not see me" task on shutdown it may have freaked you out as much as it did me. I initially thought a virus or spyware, but evidently it is not.
After much digging around on the internet, comparing stories on the forums it looks as if the "should not see me" task is nothing more than a glitch in the Windows Installer or some such thing. It's been associated with chipsets, spyware programs, Norton Antivirus, and even SP2.
The only definitive conclusion that I have at the moment is that it is not a Trojan or threat of any kind. It appears to merely be the background process of some common program (or programs, it's possible that more than one does this) that doesn't always shut down properly