On my computer running Windows XP Pro SP3 I have a folder on my desktop that is very important. How can I lock it so that I can alter anything in it, but the folder itself cannot be removed without resetting a (lock/unlock?) switch?
I'm afraid this is not possible.
Either you remove write permissions, and then it's read-only, or you allow writes and then it is also possible to delete (since this is considered as a write operation).
What I'd recommend if you have very important data is that you back it up, either locally or to be safer on a remote location; one good and easy option to achieve that would be to register for a dropbox account - that will allow you to recover the files if they happen to be deleted, and if you only use up to 2GB of data it is completely free.
Edit: For Windows (I read a bit too promptly), it is indeed possible to specify the permissions in a more fine-grained manner in the Security settings of the folder/files. You can not prevent an admin to assign itself the delete permissions though. In any case, if you're afraid of someone else deleted the files, I'd say a backup is still recommended. And if you're afraid of accidentally deleting the files.. Well back it up either way :)