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1. Make sure you are running an Administrative account.
2. Click Start.
3. In the Start Search box, type in control userpasswords2.
4. Click Continue in the User Account Control prompt. (The UAC is excellent by the way, I love it!)
5. Click on the Advanced tab.
6. Check the box that is labelled "Require users to press Ctrl+Alt+Delete"
7. If you wish, take a look at the other settings, but don't do anything that will annoy other users, compromise system security, or lock yourself out of your PC!
8. Click OK when done.
9. Restart your computer (or log off).
From now on, you will have to press Ctrl+Alt+Delete to get to the Welcome Screen to type your password in to log in.
Note that in both Windows XP and Windows Vista, this also affects when you Lock Computer/Switch User. You must press Ctrl+Alt+Delete in the Unlock Computer dialog also.
Hope this helps!