Password-protect your account. Make a new Limited-class account called "Visitors" that has no password protection. Important: make sure it's a Limited-class account, not a Computer Administrator-class account. Or you can enable Guest. That'll keep them out of your account's folder in C:\Documents and Settings, which is where your personally-related settings, bookmarks and etc would be located. It will also prevent them from installing junk without your permission, as long as all Admin-class accounts are password-protected and the passwords are secret from them.
If you want to hide stuff that is not located in your account's folder in C:\Documents and Settings, then you really will have to work at it. You could deny access to a folder, but hiding it completely is another story.
*refrains from asking the obvi0us question here*