Play it safe lock away your PC

If you want to keep others from having a sticky beak while your PC’s programs churn away in secret, locking your PC is the way to go. This XP feature keeps you logged on while sweeping your screen clean of all windows, icons and toolbars.

All that displays is an ‘Unlock Computer’ box that has fields for username and password.

To enable Lock Computer you have to disable Fast User Switching. To do this,

Click Start → ‘Control Panel’ → ‘User Accounts’ → ‘Change the way users log on and off’, untick ‘Use fast User Switching’ and → click the ‘Apply Options’ button. After, pressing Widows key-L locks your PC instead of displaying the Welcome screen.

With Fast User Switching disabled, you can also have Windows require your logon password to resume from the screensaver. To enable this, right-click a blank part of the desktop and select Properties → ‘Screen Saver’, tick ‘On resume, password protect’ and click Ok.

Step by step intructions to lock your computer with Quick Launch

If you don't have a Quick Launch bar, right-click a blank spot on the taskbar and select Toolbars → 'Quick Launch'. Right-click a black spot on the desktop and select New → Shortcut. Type Rundll32 users32.dll,LockWorkStation in the 'Type the location of the item' field and click the Next button. Note the string in case sensitive and it's important to leave a space after rundll32.
Type a name for the shortcut, such as 'Lock PC and click the finish button. This will put the shortcut icon on your desktop. Right-click the icon, select properties and click the 'Change icon' button on the Shortcut tab.
Type shell32.dll in the 'Look for icons in the file' box and press Enter. Select an icon, such as the padlock or keys, and click OK twice. Right-drag the shortcut icon from your desktop to the Quick Launch bar (next to the start button) and select 'Move Here'. This gives a single-click alternative or pressing Windows Key + L.