From the XP help files:
To require users to press CTRL+ALT+DELETE before logging on
You must be logged on as an administrator or a member of the Administrators group on a computer that is part of a network domain in order to complete this procedure. Network policy settings may also prevent you from completing this procedure.
Open User Accounts in Control Panel.
Click the Advanced tab.
In Secure logon, select the Require users to press Ctrl+Alt+Delete check box.
To open User Accounts, click Start, click Control Panel, and then click User Accounts.
Or do you want to send the command from the server to the clients?