This caught me by surprise, the little annoying icon at the icon tray came about after I've installed Vista SP1 over the night.
And look at the screen shot, asking you whether to participate in the Customer Experience Improvement Program. Look carefully, OK Button is disabled. At first sight, I though it designed to default the option to "I don't want to join the program at this time", but with the "OK" button it does seem you suggest that you have no choice but to participate in order to get ride of the annoying tray.
So, I do my usual software testing tricks, and looks like it is a bug! You can simply "workaround" the design of the trick to cheating you into participation by choosing to the first radio button and toggle back to the second one.