From XP Help and Support on the Start Menu:
To lock a computer that is not on a domain
a.. Press the Windows logo key () + L.
If Fast User Switching is turned on
Microsoft© Windows© displays the Welcome screen. Anyone with an account on
the computer can log on. If the Guest account is turned on, any user can log
on to the computer as a guest.
The Welcome screen will either indicate that you are still logged on or
will display the number of programs you have open.
a.. To log on to the computer, click your user account name and type
your password to return to your open files or programs.
Notes
a.. Windows will prompt you for a password only if you have set up your
user account with one. However, it is highly recommended that you assign
passwords to all accounts on the computer.
b.. When Fast User Switching is turned on, any user can shut down the
computer from the Welcome screen. This will automatically log you off and
could result in data loss if you have not saved your work.
If Fast User Switching is turned off
Depending on how your computer is configured, Windows displays either the
Unlock Computer or the Computer Locked dialog box. In either case, your
system is now locked, preventing everyone except you or an administrator
from unlocking your system.
a.. To unlock your computer using the Unlock Computer dialog box, in the
Unlock Computer dialog box, type your password.
b.. To unlock your computer using the Computer Locked dialog box, press
CTRL+ALT+DELETE, type your password, and then click OK.
Notes
a.. Windows does not require that you set up user accounts with passwords.
However, for the sake of security, it is highly recommended that you assign
passwords to all accounts on the computer.
b.. For information about logging on to your computer, Fast User
Switching, and tips for protecting your password, click Related Topics.