If you want to allow access to your computer, but not to your desktop, documents, and so on, create a new user account. User accounts can be restricted at many levels, and can be set up in the Control Panel's Users and Passwords applet. Press its Add button, assign a user name and, optionally, a full name, and description of the user. Click Next, and enter a password for the new user.
On the next screen, you're faced with three choices of security level: Standard user, Restricted user, and Other. Standard and Restricted users can access programs and save documents, though neither can access other people's files without permission. Restricted users can't install software. The Other option allows a wider set of permissions, from omnipotent Administrators to Backup Operators, who can only run backup software. Pick the new user's restriction, click Finish, then OK.