Method 1: Check Group Policy Settings

1) Run gpedit.msc from Run... prompt
2) Navigate the tree to User Configuration --> Administrative Templates --> System --> Ctrl + Alt + Del Options.
3) There should be four settings:

Remove Task Manager

Remove Lock Computer

Remove Change Password

Remove Logoff

Make sure each of these is set to "Not Configured"

Method 2: Editing the Registry

Note: This is necessary if you are running Windows XP Home instead of Windows XP Pro

1) Run regedit from Run... prompt
2) Navigate the tree to

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\System

3) If you see an item named DisableTaskMgr, delete it. This should restore your access to the locked items.