In my XP SP3 there appeared multiple devices of Microsoft Tun Miniport in device manager with yellow exclamation mark.

This was related to the use of "Show/Hide icons for networked UPnP devices" in the explorer bar (left of main display) of "My Network Places".

If I have it to show (e.g. to see a router icon in network connections and in tray),
then click "hide" by making the selection in the explorer bar, and restart, this
additional exclamated device appears which is not possible to uninstall.

In the past I managed to uninstall if I remember well by installing again the equivalent
"UPnP User Interface" in the Control Panel\Add or Remove Programs\Add/Remove Windows components\Networking Services, restart and then uninstall the additional devices in device manager.

In any way, I avoid using this button "Show/Hide icons for networked UPnP devices" and
instead use the Control Panel. Since then I had no additional devices.