Here are a couple of ways to lock your XP desktop:

1. Hold down the Windows key and the L key (WinKey+L) simultaniously.
    
2. You can also create a shortcut icon on your desktop using the command: rundll32.exe user32.dll,LockWorkStation
    
• Right-click somewhere on the desktop
   
• Select New | Shortcut and type: rundll32.exe user32.dll,LockWorkStation