From: Gizmodo.com article: Windows 8 Tells Microsoft About Everything You Install, Not Very Securely by Nadim Kobeissi Aug 24, 2012
Microsoft knows everything we install on our Windows 8 devices.
Windows 8 has a new featured called Windows SmartScreen, which is turned on by default. Windows SmartScreen's purpose is to "screen" every single application you try to install from the Internet in order to inform you whether it's safe to proceed with installing it or not. Here's how SmartScreen works:
1. You download any application from the Internet. Say, the Tor Browser Bundle.
2. You open the installer. Windows SmartScreen gathers some identifying information about your application, and sends the data to Microsoft.
3. If Microsoft replies saying that the application is not signed with a proper certificate, the user gets an error that looks something like this.
Follow the above link for the complete article which includes 3 updates since first published on Aug 24.