Are you using Windows XP?

If so the easy solution is to create another user (which everyone else will use), then "Fast user switching" will do the job.. on the Start menu click on "Log off", then "Switch User".

They can then log in as the other user, but not as 'you' unless they know the password. That way they can't see your files, and your desktop will stay as it was (along with any open programs).