The only OS I’ve done this with is XP Home, they have tools for Vista and Windows 7 so could possibly work for them as well.
Also, I was on the phone to a guy in Microsoft at the time; I assume anyone could do this, but there’s a slight chance that he did something to allow my key to convert.
In any case, the instructions are very simple:
1) Go to this page: http://windows.microsoft.com/en-US/windows/help/genuine/product-key and choose Windows XP tab at the top
2) Click on the link for the Windows Product Key Update Tool, and run it
3) Follow the installer, it should tell you it’s been successful when completed, and wants a restart
The Microsoft page says after activating you are required to activate Windows XP; I didn’t need to do this so not sure how accurate it is.
If anyone has tried the Windows Vista and Windows 7 versions (these say explicitly that they’re for using a, for example, Windows 7 Home licence with an installation of Windows 7 Ultimate, whereas the XP version doesn’t really say what it’s for, so I’m not sure if they have the same magical retail <> OEM conversion abilities – talking of which, I’m pretty sure this didn’t actually convert my licence to a retail copy, just forced my retail installation to accept my OEM key) let me know how it went.