Microsoft Shared Computer Toolkit
Microsoft have released a public beta of the shared access toolkit.
While it was designed for machines that have public access, it is a handy tool for home users.
Windows XP Home lacks the ability to edit the local policy, this tool lets you get at a heap of settings that you would only be able to change using registry edits.
Another good tool for doing security lockdowns on XP Home is XP Security Console by Doug Knox