yeah, you almost definately want to password protect your account. It'll also secure things like file sharing, which would allow an easy way in for a 1337 H4X0R.
I actually seem to be wrong, i came down to my XP computer, and the ctrl+alt+del - then lock comptuer does not seem to work, that brings up the task manager for me on XP. I did find a few other ways, laid out really well on a website.
http://pubs.logicalexpressions.com/Pub0 ... .asp?ID=70[url]
It also tells you how to change your password, and about fast user switching. Baisically if you have fast user switching on, with multiple accounts, when you lock your compter, anyone who has a password for any of the user accounts can log on.... if you disable fast user switching they'd have to know YOUR password.[/url]