But, can't you by-pass both a protected screensaver and the XP log-in screen?
You can get past the screensaver by rebooting and getting past the XP log-in screen is as simple as just logging in anonymously. You'll have to password protect the entire operating system if you want to be serious. I have my computer passworded at the BIOS so you can't even boot up the computer, including the floppy drives, so you can't do shit until the password is entered. You have an XP system, which makes it a little harder to get to the BIOS setup, but I'm sure your BIOS has a password set-up.
Another alternative is to buy some third-party application lockdown software. Basically, it's software that passwords all functions within Windows once you turn it on. No operation can be performed while it is on unless a password is entered. Also, if you try to reboot it, it just stays on so you can't bypass it. The problem with this route is that the user can still get into Windows and although they can't do anything they can still reboot, which still won't let them in, but it's not good to keep loading Windows and cold-booting, which a frustrated user is likely to try a few times. Passwording at the BIOS eliminates this risk, because the BIOS is as far as they can get without a password, so rebooting a bunch of times from the BIOS does not damage your disks.