You have to download ClearType PowerToy from Microsoft site
...Or...You could just go to 'Display Properties>Appearance>Effects...', check 'Use the following method to smooth edges screen fonts' and select ClearType from the drop down.
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For SP2 at least, I can't remember if it's the same for pre SP XP too.
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Personally, I can't stand the fuzzy look, but each to their own. ;o)