Microsoft officially admits that the WGA program will "contact home" even if the user clicks on cancel. Nonetheless, the software giants claim, no private information is transmitted through this, further claiming, this is kind of a survey done for WGA user experience. There's been WGAs and WGA crackers, its a cute lil' battle that promotes newer grounds of security and newer grounds for anarchy :D
Anyway, be genuine..
Read more here: http://www.theregister.co.uk/2007/03/09/ms_wga_phones_home/