Lock your Desktop

Press the Windows key and the L key (WinKey+L) at the same time.
Additionally, you can create a new shortcut, with the following command line:
rundll32.exe user32.dll,LockWorkStation
Copy the new shortcut to your Quick Launch bar and you have one click access to locking the desktop.
Notes: If you are using the Welcome screen and Fast User Switching is enabled, other users will still have access to you computer, by selecting their Username and entering their password. Additionally, if you don't have a password on your account, then all that is required is to click on your Username on the Welcome screen.

Animation - Disable Windows Animation in XP

Start/Run/Regedit
HKEY_CURRENT_USER\Control Panel\Desktop\WindowMetrics. In the right pane, select New/String. Name it MinAnimate. Set Value to 0. Exit/Reboot.

How do I delete an "undeletable" file?

Thanks to MS-MVP Kelly Theriot for this tip.
Open a Command Prompt window and leave it open. Close all open programs. Click Start, Run and enter TASKMGR.EXE Go to the Processes tab and End Process on Explorer.exe. Leave Task Manager open. Go back to the Command Prompt window and change to the directory the AVI (or other undeletable file) is located in. At the command prompt type DEL where is the file you wish to delete. Go back to Task Manager, click File, New Task and enter EXPLORER.EXE to restart the GUI shell. Close Task Manager.

Disable the Windows XP Splash Screen

Ever wonder what's going on behind that splash screen? Well, now you can find out!
Right click My Computer, Properties, Advanced, Startup and Recovery, Edit. Edit BOOT.INI. Add "/SOS" right after "/fastdetect" with a space between. The line will look something like this:
multi(0)disk(0)rdisk(0)partition(1)\WINDOWS="Microsoft Windows XP Professional" /fastdetect /SOS. When you're finished. The first part, multi(0)..... may not be the same on your machine. Upon restarting, the splash screen will be gone. It can be re-enabled by removing the new switch.