Enable / Disable Task Manager in Windows XP

• Click Start
• Click Run
• Enter gpedit.msc in the Open box and click OK
• In the Group Policy settings window
  • Select User Configuration
  • Select Administrative Templates
  • Select System
  • Select Ctrl+Alt+Delete options
  • Select Remove Task Manager
  • Double-click the Remove Task Manager option

or you can set by expert way

Hive: HKEY_CURRENT_USER
Key: Software\Microsoft\Windows\CurrentVersion\Policies\System
Name: DisableTaskMgr
Type: REG_DWORD
Value: 1=Enablethis key, that is DISABLE TaskManager
Value: 0=Disablethis key, that is Don't Disable, Enable TaskManager