Most of the icons in system tray, are of those applications, which start automatically at windows startup. U can remove those unwanted applications using msconfig. Type msconfig in RUN dialog box and goto Startup tab and uncheck the unwanted items. Also a few icons, like Volume icon, etc can be removed from control panel.
no i wanted to remove them parmanante. and after the help of vishal i did it. but some icons r exist and i want to remove them like windows security alerts, intel extreme graphics 2 icon