For your purposes, no, not really. There are so many work-arounds that by the time you've closed them all, your system is entirely unusable for anyone. If you block cmd.exe, He can still use the run dialog. He can still download an executable onto your system and run it which will do the same thing.
What you probably want to do is set your screensaver to launch after 5 minutes, and require a password to wake/go to welcome screen (depending on how your computer is configured). This will auto-lock your system after being idle for 5 minutes. Also get in the habit of just pressing
Win+L (lock the system) when you leave keyboards but leave your account logged in. That goes for anywhere that you have your own user account (school computer labs, work computers, etc.). Just make it habit so that the screensaver is a fallback on the rare occasion you forget.
Further, I would disable booting from CD-ROMs and USB sticks / external harddrives in your BIOS, and set a BIOS password. This will prevent him from using a live CD to change your password without physically opening up the system to reset the CMOS - at which point, you do indeed have serious issues with your roommate. If it gets that bad and your computer has a spot for a lock, buy one.
He's probably just trying to play pranks / mess with you, unless you have reason to believe otherwise.