Or you could do this if you have XP Pro with GPEDIT.   
Go to Start / Run gpedit     In the Group Policy settings window:   
Select User Configuration 
Select Administrative Templates 
Select System 
Select Ctrl+Alt+Delete options 
Select Remove Task Manager 
Double-click the Remove Task Manager option this will open a box that will let you enable taskmanager.  
Put  a dot in Enabled then click on Apply and exit.    
     
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