You can turn this feature off by selecting the "Always On" power scheme in Control Panel's Power options. Under all other power schemes, Windows XP does what it wants.
There is also this utility that lets you control it manually:
http://www.diefer.de/speedswitchxp/index.html
You may want to leave it alone even if you don't care about power, though. It also serves to reduce heat (and less heat can only be a Good Thing). The clock changes are dynamic and demand based. When you were running a game, the processor almost certainly was at the maximum speed; you don't need it to be at that when it is waiting on you typing something in Word.
Windows doesn't do a very good job at showing how often the speed changes and how this really works.
