Go to start > run > type: mmc /msc > click file > add/remove snap-in > Click the button: add... > Go to Group plicy object editor > select ok and when promted click finish > click ok > go to administrative templates > go down to system and go into ctrl + alt + delete options > select: remove task manager > go to properties and select not configured or disabled.
This was quick referenced from windows server 2003 so if your using windows xp then it will likely be differen't.
If you cannot get to that because of maybe it is locked from you entering from maybe an admin that removed it, then oh well, you shouldn't be removing it in that case.
If that isn't the case, then likely if you have a problem with my instructions then i'll have to look it up on on xp on how to do it, i'm not sure but it might vary slightly and use your best judgement to locate a similar thing to group policy editor if the one I mentioned doesn't work for you.