Ever since I learned that I could simply put any distro live cd and copy every single file in a HD I have been sort of worried, is there any way that disable it in windows? I know that in linux one can "Set a password for grub, so one can't modify boot entry" and that I could set an encryption as well.
in windows I believe you can not. Alternative is if you encrypt (bitlocker or similiar) But encrypting does not stop livecd booting, but the livecd will not be able to access your partition/hd. TrueCrypt is a nice open source project that has pre-boot authentication and full disk encryption.
Though from bios you can disable the dvd/cdrom from being used to boot from, and then you can put a password on your bios.
If your BIOS supports it, you can disable booting from CD/DVD and/or USB. That will prevent most people from being able to boot a LiveCD. Also, enabling a BIOS password would help prevent them from changing those settings. However, this is not a fail-proof method, as BIOS passwords can be circumvented by removing the battery for a period of time, or be shorting certain jumpers on the motherboard.
In addition to that, if someone has access to boot off a liveCD, they have physical access to your PC. They can open up the computer and boot off a different disk hard disk. Or they can just take your hard drive.
Encrypting the hard drive is the best protection against someone reading your data. Bitlocker, TrueCrypt, or other encryption software would be the best choice. I believe all the popular disk encryption methods have been cracked, however it takes a massive amount of computing power to do so, therefore its not something I would worry about.
If you are worried about having your important data stolen, remember the easiest way for someone to steal it is when you are using your computer. Remember, when you are logged in, the encrypted drive is available. Keyloggers, trojans, backdoors, etc are able to access your data. This is when your computer is most vulnerable to outside attackers when the disk is encrypted.