Right-clicking anywhere on the desktop will pop up a menu:

Click on Properties, and the Display dialog will pop up:

Click on the Screen Saver tab at the top of the dialog.

Click on the Password Protect checkbox. This will password protect all screen savers, so you don't have to do it for every individual screen saver.

Click on Change... to change the password.

I think on Windows NT, it defaults to your NT password, but this isn't true on Windows 98 and 95, which we're running in the lab.

Therefore, since changing the screensaver password will change it for all users, using this ability in the lab is forbidden to prevent subsequent users from losing access to their accounts.