If you plan on leaving your laptop for a moment, Windows has a unique locking command that you can use to keep out anyone who doesn't know your password. That way, even if you trust the other folks with you, they're prevented from doing even the most harmless mischief.
By pressing the Windows key and the L key (Win+L), you can quickly lock the laptop, temporarily logging yourself off Windows. Only by logging in again — which requires you to type your password — can you regain access.
If your laptop lacks a Windows key, you can lock windows in two other ways:
In Windows Vista, choose the padlock icon from the Start menu.
In Windows XP, choose Log Off from the Start menu and then click the Switch User button in the Log Off Windows dialog box.
Note that on some systems, pressing Ctrl+Alt+Delete automatically locks the computer.