Depending on your XP settings, the traditional locking method can work just like it did in Windows 2000.
The article "Quickly Lock the Computer"
offers a workaround for the fact that you can no longer lock a Windows XP machine by pressing Ctrl-Alt-Del followed by Enter. Quite a few puzzled readers wrote in, because they found this key combination still works for them precisely the same way it did under Windows 2000.
Why would it work on some systems and not others? The difference involves the use of the Welcome screen. If you configure Windows XP to use the Welcome screen, Ctrl-Alt-Del brings up Task Manager. If you configure it to log-on using the Windows 2000 style, Ctrl-Alt-Del brings up Windows Security and pressing Enter at that point locks your computer.
To enable or disable the Welcome screen, launch the User Accounts applet from the Control Panel and click on the link Change the way users log on or off. The box titled Use the welcome screen for fast and easy logon controls whether the Welcome screen is displayed.