My Windows XP system folder (c:\Windows (default)) has a lot of directories like this:
Can I remove them all? Will it harm my operational system?
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If you have not had any compatability issues with any of the Windows Updates you have installed then you can remove these files. As others have said though once these files have been removed the uninstallation of any hotfixes corresponding to the folders you delete will become impossible.
e.g $NtUninstallKB2141007$ corresponds with Hotfix KB2141007, an update to help strengthen authentication credentials in specific scenarios.
If there are any potential issues you see for yourself in the future then best to leave these folders and find the space elsewhere, otherwise just delete them.
(You could always burn them onto DVD to back them up. I'm not sure if this would work but I don't see why not.)
These can usually be removed with harming your system. However, you will not be able to uninstall the updates once these are deleted.