OS usually has no effect on overclocking. Some operating systems may have more CPU usage, causing a higher temperature. This has to do mostly with the Windows Kernel, the Windows NT 5.1 Kernel tends to tax on the CPU a bit more than a Win9x platform during regular use.
However, if your CPU is 100% stable, no matter which operating system, it shouldn't have any effect. Moving from Windows 2000 to Windows XP Home or Professional is virtually no difference since both run on the same NT5.1 kernel none the less. Perhaps all those nice visuals(fading etc) might eat up a little more CPU usage.