You can make the machine more secure with a BIOS paaaword. This stops the system booting up at all. Of course it can be circumvenyed by removing the CMOS battery, or resetting the CMOS with the jumper - but it deters casual "users".
If you click cancel where you have doen, you will find that any stored passwords, for web access, and not available.
The general idea is to giev controlled access to variuos users - not to prevent access altogether - however any Win9X system is never really secure - as it was never designed with this in mind.