Locking desktop means, this action, "
Windows Key + L"
but what you want it some thing else... !!
Take a look at here Registry tweaks to implement some restriction what you want...
*www.kellys-korner-xp.com/xp_tweaks.htm
and you may try this too, to make sure that all changes made on the Desktop would not save in next restart !!
Run the command
Regedit
Find or Navigate to the Registry Key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
Modify/Create the Value Data Types and Value Names as detailed below.
Data Type: REG_DWORD (Dword Value) // Value Name: NoSaveSettings
Setting for Value Data: [0 = Disabled / 1 = Enabled]
Exit Registry and Reboot