If you're talking a win9x system, you'll most likely need 3rd party software. There is no registry entry that allows or disallows a password. Here's one possibility:
Restricting Applications Users Can Run (All Versions)
Category: Security
Windows gives the ability to restrict the applications that can be run by users on a workstation.
Open your registry and find the key [HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer]
Create a new DWORD value and name it 'RestrictRun' set the value to equal '1' for enabled or '0' for disabled.
Then define the applications the are allowed to be run at the key [HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer\RestrictRun].
Creating a new string value for each application, named as consecutive numbers.
Reboot the computer for the changes to take effect.
Caution: If you are the person who applies Group Policy, do not apply this policy to yourself. If applied too broadly, this policy can prevent administrators from running Group Policy or the registry editors. As a result, once applied, you cannot change this policy except by reinstalling Windows 2000.
Settings:
Key: [HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\PoliciesExplorer]
Name: RestrictRun
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IE Security allows you to disable almost any function in Internet Explorer.
The program lets you disable individual menu items, and prevent others from editing your favorites.
You can disable individual tabs in the Internet Options dialog box; modify the title caption, toolbar background, and animated icon; change all default folders; and replace the standard error information pages.
IE Security also includes multi-user support and password protection.
More information:
IE Security Home Page
reghakr