XP comes with a lock feature, not quite like what you are talking about, but if you do it right, then you should have no problems.
First, the lock pc shortcut:
%windir%\System32\rundll32.exe user32.dll,LockWorkStation
Simply create a shortcut, with that being the command line.
Secondly, make sure you have a password set for yourself that your screen saver also uses the password feature.
A quick tweak to remove the shutdown command from the welcome screen is as follows (as long as you are using Professional).
Open Group Policy Editor
Computer Configuration
Windows Settings
Security Settings
Local Policies
Security Options
"Shutdown: Allow system..."
Change to disabled
Although, if you want to leave your PC inaccessable, I recommend turning off the welcome screen all together.
And just to be extra safe, disable the guest mode and all user accounts other than your own.
Run compmgmt.msc
Local users and groups
Right click
Properties
Tick account is disabled.
This is the best way to keep your PC and files safe without going to drastic measures.
Good luck.