What is your OS?
Even for Win9x without a network you can set a Windows logon prompt (Start>Setings>Control Panel>Network>Configuration>Primary Network Logon>Windows Logon), that won't allow to anybody just to hit <ESC> key in order to bypass it.
Activate the use of Profiles (Control Panel>Passwords>Change Passwords).
then install...
sorry, there're some optional software, sorry I'm not sure, probably Poledit (check www.Google) that lets to create and use system policies, more advanced security.
Or, better check the BIOS on your computer, most BIOS' today offer a User Password as a security option. When it is enabled, without a password the PC won't boot.
If you forgot the password, you wouldn't get into your machine without opening the box and investigating the motherboard first and doing some resettings after.