Complex System

Your computers BIOS is the first program that is run when your computer starts. You can tell the BIOS to ask for a password when it starts, thus restricting access to your computer.

To enter the BIOS setup program, sometimes called CMOS setup:

Turn on or reboot your computer. The screen will display a series of diagnostics and a memory check.
A message like "Hit the <DEL> key to enter the BIOS setup program" will appear.
When you do hit DEL at the right time[1] you'll see a menu screen something like this:
Note: Some BIOS versions use a graphical type menu with icons (a GUI) or have a text interface that appears differt to the one shown, the principle however is exactly the same.
As you can see there are two options that relate to passwords, Supervisor Password and User Password, these relate to controlling access to the BIOS Setup Program and the Machine Boot respectively.
Note that not all BIOS's have this password feature, your bios may not have it in which case you won't be able to restrict access to your computer in this way.
Select USER PASSWORD and you'll be prompted to enter a password:
You should now enter a password of up to eight characters (most BIOS's are limited to eight characters unfortunately).
The BIOS will then prompt you to confirm the password, just type the same thing again.
Now you'll want to set your system to ask for that password every time it boots, so select the BIOS FEATURES SETUP option, to see a menu something like this:
Fairly obviously, it's the Password Check option we're interested in, so select it and change the setting to ALWAYS.
Now navigate back to the main menu and select SAVE & EXIT SETUP.  Your machine will then reboot and you'll be prompted for the password.
Each and every time you boot you'll be asked for password you chose.
Please note that this method of restricting access to your computer is not completely foolproof, there are ways around it. But it will stop or at least delay the majority of casual attempts to get access.

If you forget your BIOS password, consult your motherboard manual or if you don't have one, consult the website of the BIOS manufacturer.
[1] It's not always the DEL key some BIOS's use F2 or F10 or anothother key combination, check your motherboard manual.