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There is one feature that is not to my knowledge not only in Windows XP, but in Vista (not sure about the latter). It's called Color Labels or colored labels. How to use it?
Color Labels - these are the same tag, only more advanced. In Mac OS X, you can mark individual files not only in color, that allows them to distinguish among the common masses. In labels / tags can be and their names (the default shortcuts are named by color - red, green, etc., but these settings can be changed in the Finder preferences).
All this provides a variety of use cases: