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If you setup multiple accounts on Windows then when you start Windows you will get a screen similar to this
http://www.rohos.com/welcome-screen/img/shots/ login_window.gif
You could protect YOUR logon with a password, so nobody can log on as you.
You can also set up other users as "limited users" which would stop them downloading and installing programs (and also accidently instaling viruses, spyware etc).
The great thing is, if they totally corrupt their account you can just delete their Windows account (which deletes all their personal files and maybe any viruses they have downloaded) and then recreate it again.
Doing this will not effect YOUR account.
For anyone sharing a machine it is always avisable to create a separate Windows account for other users to use to stop them accidently causing problems with your account.