First of all for those that don't know, Windows Genuine Advantage or WGA is a peice of software released by Microsoft to validate your copy of windows when using services such as Windows Update or Download Center.
Due to the fact that these days you are required to keep windows up-to-date it is a good idea to satify the WGA notification.
However, because of the concerns over whether this application is infact a form of spyware due to the data it collects and sends back to Microsoft, also due to the fact that once you have established that you have a (il)legal version of Windows there is no longer any requirement to have the software installed.
Therefore Windows Genuine Advantage Remover software was created.
Once you have run RemoveWGA.exe and rebooted, before long you will be asked to install new Windows Updates. At this point you can simply choose custom on Windows Update, and de-select the Windows Genuine Advantage update, Windows Update will then ask you if you do not want to install this again in the future, you simply select no. This will be the end of WGA, and your windows updates will continue to function as before.
There are many other ways to remove the WGA however this is the most effective.
If you still have questions the Wikipedia has more information about the Windows Genuine Advantage.