When windows finishes installing, you'll want to install the drivers for any of your hardware which XP doesn't pickup. You'll have a CD included with your new Mobo. This will have the drivers for your chipset (eg RAID controller drivers, NIC Drivers, integrated Soundcard drivers or maybe u bought a discrete soundcard - it will have it's own drivers on a CD supplied with it.) You next step is installing your GFX card drivers. You will have received a CD with your GFX card with the drivers you need, but it might be worthwhile going to nvidia.com/ati.com to get the latest drivers for your gfxcard.
Next step is typical Windows stuff. Install service pack 2. Get all of your windows updates. Install an anti-virus program (you'll probably get some free anti-virus bundled with your new kit - I got Norton & Kaspersky with my mobo. Then I got PC-cillin with my GFX card).
Personally, my first line of call is to check my temps in the bios for a while before I do anything, just to be on the safe-side.
