Can I change the scheduling of the screen saver, to start as soon as I lock my Win XP?
Instantly Activate a Screensaver
Turn on a screensaver without having to wait by adding a shortcut to your desktop:
If you're part of a domain, you'll see the On resume, password protect check box.
There isn't a way to do this exactly, but one thing you could do is set the computer to lock when you start the screensaver, and then create a shortcut to the screensaver program (C:\Windows\System32\scrnsave.scr on WinXP) and give it a keyboard mapping like Ctrl-Alt-L.
Edit: I just realized that the screensaver program I gave may not do what I thought it did. When I last tried something like this, I think I ended up using "Nircmd screensaver" instead of scrnsave.scr. Nircmd is a pretty sweet free program, with tons of easy commands that allow you to easily automate a bunch of windows tasks. Anyway, the basic idea is the same, you just create a shortcut to nircmd instead of the screensaver directly.