If the OP is looking to slow or stop the casual user, and is running Win9x or WinME, the is a fairly easy way to do this. Of course, as has already been posted, there is no foolproof method of protecting the files on any PC if the invader is serious about getting in. Between software tools to crack passwords and hardware tools to remove drives, it's pretty hard to stop someone who really wants in!
That having been said, **broken link removed** is an excellent way of adding and enforcing password security on a PC using a version of the Windows operating system that is otherwise wide open to the unauthorized user.
This utility, when installed and active, will allow the system to boot to the desktop only if the user name entered is on the approved list of users, and if the proper password associated that user name is entered. Pressing the Escape key, entering an unauthorized user name, or inputting a wrong password will all return the user to the login screen.
I have long used this utility for teachers in classroom settings who have the need to keep their students out of the teacher workstation. It worked nicely on Win95, and still works nicely all the way through WinME. Of course, the more secure versions of Windows -- WinNT, Win2K, and WinXp don't really need anything like this if their security options are properly set.