Yep, Windows collects data about you and sends it off to a number of external servers. Surprise, surprise. Disappointing but true. The following YouTube video from The PC Security Channel will show you how to thwart Microsoft efforts.
I’ll include a link here to the original YouTube posting, that shows the text in the description of the video, that is required to be added to your Windows Hosts file on your computer. This will enable you to simply edit, cut and paste; to both save time typing, plus eliminate any mis-typing. I have noticed however that the msn.com site accessed from the Windows Taskbar will no longer work after implementing the above (which makes me wonder just how much data Microsoft has garnered from me already!!).