On Windows machines you can lock the user login sessions while you are away from the computer. This allows users to protect their accounts on the systems which is physically accessible to others.
For example on a Windows XP professional machine, you can press Ctrl-Alt-Del and then select the option Lock Desktop. Your session will be locked. You need to enter your login password to reopen your session.
On a Windows XP Home machine, pressing Ctrl-Alt-Del will directly open task manager. To lock desktop on these machines you can just press the keyboard shortcut Win-L. This will directly lock the screen without prompting the user for confirmation. This keyboard shortcut works on Windows Professional edition too.
This article applies to Windows 7 too. We can use the same keyboard shortcut to lock a windows 7 machine.