Don't worry though, they don't take any other personal information (this is what they say, anyway...). They just take the memory dump of the problem that occured, and the name of the program that caused the error if it was reported. They have a dedicated team that simply try and work on errors and then work on patches to fix any problems.
Thanks for your answers, if they they find how the error came about, why can't they send a report back the same way so as this does not happen again, to, say this computer.
Apart from it being a security risk, them being able to just send you messages and things, it's also nigh on impossible to be able to send everyone messages back. Plus people's IP addresses change over time, unless you're paying for a static one.
They do release the fixes in periodic patches though; this is why it's good to keep your version of windows up to date by going to windowsupdate.com