The Performance Diagnostic tool automates many of the steps required to produce diagnostic traces for performance and stability related issues. The tool collects traces locally on the users machine which can then be sent to Microsoft by the user. (The tool never communicates directly to Microsoft). The tool can collect ETW, MSInfo, DirectX, VMMap and MiniDump logs. There is a simple user guide that explains which logs to produce for different types of issues.
Note, unfortunately ETW tracing isn't supported on XP.