I did that my computer asks me for a password when I start up (bios password) and then again for WinXP Pro login. LOL.
To setup a bios password start your puter. Press F2 to get into bios. Scroll over to security, there are two password places, one for entrance to the bios setup and one for starting up the computer. To activate the one to start up the computer you will have to setup both passwords.