GPO to disable Windows XP tour popup

HKCU\Software\Microsoft\Windows\CurrentVersion\Applets\Tour\RunCount

The registry key's value is REG_DWORD type, setting it to "0" will disable the pop-up.

You can set this value in GPO using a logon script or, preferably, Client-Side Preferences. A logon script would look something like:

REG ADD "HKCU\Software\Microsoft\Windows\CurrentVersion\Applets\Tour" /v "RunCount" /t REG_DWORD /d "0" /f

http://support.microsoft.com/kb/311489

Edit: Here's an ADM that should perform the same function, if you're into that kinda thing.

CLASS USER
 CATEGORY "Software Settings"
  CATEGORY "Microsoft"
   CATEGORY "Windows"

    POLICY "Windows XP Tour Pop-up"
     KEYNAME "Software\Microsoft\Windows\CurrentVersion\Applets\Tour"
     EXPLAIN "Display the Windows XP tour icon in the system tray."
     VALUENAME "RunCount"
     VALUEON  NUMERIC 1
     VALUEOFF NUMERIC 0
    END POLICY

   END CATEGORY
  END CATEGORY
 END CATEGORY

Per @natxo's comment below, the above will disable the pop-up on a per-user basis. You can use this to target specific user groups/OUs if you want. Should you wish to disable the pop-up on a per-computer (all users) basis, change "HKCU" to "HKLM" in the script or change "USER" to "MACHINE" in the ADM. This is detailed in the Microsoft Support link above.