Me and Google just had to figure this out so I thought I would share.
Lately, when I started up my WinXP SP2 machine, some of my system tray icons would not appear—Grisoft AVG Free, Microsoft Anti-Spyware, Daemon Tools, and other such programs were afflicted. Basically, any program that put an icon in the tray might start up, but fail to display its icon, leaving me no way to interact with the application.In short, Windows is dropping the ball somewhere in the startup process. Some say that it is because WinXP is trying to start too many processes at once during startup, but only the lidless, burning Eye of Redmond knows for sure.
Whatever the root cause, there are some workarounds... Hopefully one will work for you.