Pirate windows, any effect?

Solution
Yes. That is a main vector for malware, trojans, and other nastiness.
Of course, that is in addition to the whole illegal aspect of it.

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Look up the word "rootkit". There is a good chance you could have a pirate copy of windows with a rootkit already installed on it. You'll never find it, and your system will be compromised since day one. It's not that expensive to get a copy of windows. If you are building a $700-$1k+ machine, $100 isn't much at all.