If you have Fast User Switching enabled, i.e. you use the welcome screen, Windows key+L doesn't log you off. Your running programs keep on running. Ctr+alt+del is disabled and with a little registry tweak you can remove the shutdown option from the screen.
As TechSupport said giving a little more details about what you are trying to achieve would probably help.
Considering you're running Windows XP, here is what you do.
First, go to the Control Panel, User Account, Change the Way Users Log on and Off and unselect the Fast User Switch and Use Welcome Screen.
Second, if Using Windows XP Professional, go to Start, Run, type in secpol.msc and press enter. Under Local Policies, Security Options, Select "Interactive Logon: Do not require Ctrl-Alt-Delete"--Set this policy to Disabled.
Make sure that you are the only administrator on the computer, and then use the WinKey-L to lock the computer. The complete desktop disappears and there is a message that says something to the following:
The computer in use has been locked. Only \\compname\username or an administrator can unlock the computer, please enter a password. (That's after you press Ctrl-Alt-Delete)
This works for Windows 2000 Professional and Windows XP Professional, I'm not sure about XP Home cause the MMC is disabled in XP Home.