I've been a fan of the free Windows utilities from Sysinternals for a long time. Sysinternals was acquired by Microsoft in July 2006, but the web site was separate until fairly recently. It can now be found here: http://www.microsoft.com/technet/sysinternals/default.mspx
Some of my favorites are Filemon (real-time file system activity), Regmon (real-time registry activity), Process Explorer (see which process is using which files, registry keys, etc.), Autoruns (see everything that loads at startup), and DebugView (capture messages from OutputDebugString). And of course, there's the BlueScreen screen saver, and many, many more.
Mark Russinovich, who wrote the utilities along with Bryce Cogswell, is now a Microsoft Technical Fellow, and blogs here: http://blogs.technet.com/markrussinovich/about.aspx
HH> It can now be found
HH> It can now be found here: http://www.microsoft.com/technet/sysinternals/default.mspx
...unless it can't. I'm getting a standard error page. Microsoft's site search returned the same URL and the same error.
The site search also found this link, though:
http://www.microsoft.com/technet/sysinternals/securityutilities.mspx
...and a few others. Just search the site for sysinternals and you'll get several good links.
-- Bruce