You need to go into the BIOS. Normally when you start up your computer, before it starts processing the Windows (or other OS) startup, it checks the memory, processor speed, etc... During that time, there should be a note at the bottom with "Hit DEL to enter Setup" or something like that (Some machines use the F8 key).
In the BIOS setup, there should be an option for a BIOS security password (so no one can access this without a password), and a boot password option, which allows you to protect the whole system from initial boot onward.
Remember, though, that anyone with actual access to your hardware can usually just remove a jumper for 30 seconds and drain the ROM memory of the motherboard, thus clearing all settings. I believe that some systems offer better security than this, but you have to research it. Some laptop manufacturers go so far as to make the whole system including hard disks dependant on the BIOS password, making it so you cannot even recover the information from the hard disk by placing in another computer. I don't know if any desktop PC manufacturers provide this level of protection.
There are add-on solutions to encrypt hard disk access, though. I don't know any specifics on that at the moment.