How to disable Perfwatson2.exe from Visual Studio

For Visual Studio 2022 and the latest version of Visual Studio 2019:

1. From the help menu, select Privacy > Privacy Settings
2. In the Visual Studio Experience Improvement Program dialog, select No, I would not like to participate.

Note: You can’t opt out in pre-release versions by this mechanism.

For older versions of Visual Studio

1. From the help menu, select Send Feedback > Settings.
2. In the Visual Studio Experience Improvement Program dialog, select No, I would not like to participate.

See Visual Studio Customer Experience Improvement Program for the official Microsoft instructions.

This change writes to the registry. See then next answer for fixing directly in the registry.