Here's a Microsoft reference:
http://support.microsoft.com/default.aspx?scid=kb;en-us;Q314984&sd=tech
The final "troubleshooting" paragraph is very relevant, though--basically,
it says you can get rid of these shares, but stuff will break--test
carefully.
The best protection for security issues related to these shares is to be
running with the least privileges as a user that are needed to get your work
done. This can be problematic with XP, and with current software vendor
(Microsoft and others) practices. It'll be easier with Vista, but that's in
the future.
So--what you are seeing is something that is normal, and a part of windows.
There are security implications to the existence of these shares, and they
are exploited by some viruses, for example. However, removing them breaks
things!