Start screen saver the moment I lock the computer on Win XP

From the Windows site:

Instantly Activate a Screensaver

Turn on a screensaver without having to wait by adding a shortcut to your desktop:

1. Click the Start button, and then click Search.
2. In the Search Companion window, click All file types.
3. In the file name box, type *.scr
4. In the Look in box, choose Local Hard Drives (C:) or the drive where you have system files stored on your computer.
5. Click Search.
6. You will see a list of screensavers in the results. Pick a screensaver you want. You can preview it by double-clicking it.
7. Right click on the file, choose Send To, and then click Desktop (create shortcut). To activate the screensaver, double-click the icon on your desktop.

If you're part of a domain, you'll see the On resume, password protect check box.

To make sure this works everywhere:

Open your registry and find the key below.

Create a new DWORD valued called "ScreenSaverIsSecure" and set it to a value from the table below.

(Not in registry) - Users can turn password-protection on and off. 0 - Screen savers are not password-protected. 1 - All screen savers are password-protected. Restart Windows for the change to take effect.

MoniterES can do that.

There isn't a way to do this exactly, but one thing you could do is set the computer to lock when you start the screensaver, and then create a shortcut to the screensaver program (C:\Windows\System32\scrnsave.scr on WinXP) and give it a keyboard mapping like Ctrl-Alt-L.

Edit: I just realized that the screensaver program I gave may not do what I thought it did. When I last tried something like this, I think I ended up using "Nircmd screensaver" instead of scrnsave.scr. Nircmd is a pretty sweet free program, with tons of easy commands that allow you to easily automate a bunch of windows tasks. Anyway, the basic idea is the same, you just create a shortcut to nircmd instead of the screensaver directly.