How do you protect your computer from Live CD's?
Keep all personal data (possibly your entire profile) in an encrypted partition that is decrypted with your account password (or even a separate password).
TrueCrypt can do such things (and it's free software).
The most obvious option is to remove (or move to lowest priority) the CD boot option and then set a password on your boot configuration utility.
If they have access to your hardware, you can't be 100% secure. Keeping your secure data physically separate is the safest thing to do.