Password security in win98se (without using any other security programs) is worthless. Even if you get a login screen with password to enter, anyone can press ESCAPE to bypass that security.
(a) Upgrade to a mature OS -- windows XP / 2K, etc.
(b) Use a BIOS password. (of course, that's easy to reset once someone has access to your box).
(c) Google / search at download.com for programs that allow you to set password on windows load,etc.