I'm using some virtual machines remotely, and during this other users may log in to same machine that I currently use, which will log me out. I want to ask if there is any way or tool to prevent other users from entering to this machine or to give them a message that I currently use this Machine.
Create different users.
Once that is done you can log in with your account, run the virtual machine and lock the screen. If another user wants to use the computer they see that you are logged in. If Windows XP is configured to enable Fast User Switching, other users can use the computer while your session is still running in the background.