From Microsoft:

Microsoft will be releasing an update to WGA Notifications in Windows XP. The worldwide roll-out will begin this week and will continue over the next few months.

As you know, helping customers identify and buy genuine copies of Windows and avoid pirated software are top priorities for Microsoft. This update, which affects Windows XP Professional systems only, reconfigures the notifications experience to mirror notifications in Windows Vista SP1. Customers with non-genuine software can expect a black desktop to appear immediately, as well as a persistent desktop notification in the lower right corner indicating that the user may be a victim of software counterfeiting. For new notifications installations in Windows XP Pro, customers will also have a simple EULA to accept rather than an installation wizard. This EULA has been modified to allow the anti-piracy validation control to auto-update itself for future releases, reducing the number of interactions customers with genuine software will have with the tool, ultimately improving the user experience.

Microsoft is making these changes to simplify the installation process (making it easy for customers to stay up-to-date), to increase the effectiveness of these notifications, and to align experiences across Windows XP and Windows Vista.

More info on the WGA blog:

There are a couple of reasons we're doing this now. One is that in recent research, customers (particularly the ones using genuine software - or at least that think they are) have told us that they would prefer the simplest, shortest way of installing. Our research has clearly shown that customers value the ability of Windows to alert them when they may have software that is not genuine, but they also want the ability to stay up to date with the least effort required on their part. The other reason is that hundreds of millions of installs of WGA Notifications have already taken place, and most customers are already aware of what the program is and just want the fastest and most seamless way to install and stay up-to-date. For this reason, in this release we've also added the ability for future updates to WGA Notifications to have both the validation logic, as well as new forms of notifications, installed without additional steps. This will only be the case for those who install this latest version or future versions of WGA Notifications.

Another thing we're doing with this release is focusing on the product edition that is most often stolen. This will reduce the number of customers that will be offered the package. This release will be offered to the most pirated edition of Windows XP and therefore to users with the highest likelihood of having a non-genuine copy, those using Windows XP Pro.  We're also offering it to those using editions based on Pro code such as Tablet and Windows Media Center, but plan to narrow the offering to Pro in future releases.

From what I can see, this update actually goes a bit beyond what's available in Vista with SP1. For example, there's a persistent desktop watermark that you don't get in Vista: