If you want if fancy, you'll need 3rd party programs, otherwise, in Windows XP, just disable the "Welcome Screen" and you'll be able to lock your workstation by pressing CTRL-ALT-DEL/Lock Computer.
All that this leaves on the screen is a box saying "This computer has been locked. Only [User name here] or an administrator can unlock it..."
To change that setting, go to the Control Panel and open User Accounts.
Then click "Change the way users log on" and uncheck the Show Welcome Screen option.
Make sure all your user accounts have a password and taht you know the username, because afterwards, when you load your PC, you won't have the welcome screen anymore, you'll have a box that asks you for a username/password.
That is the default setup for office PC's all over...