Change your logon shell at HKCU\Software\Microsoft\Windows NT\CurrentVersion\Winlogon → Shell (REG_SZ) from Explorer to a program that first calls LockWorkStation(), followed by starting of the real Explorer.exe.

Or do it even earlier by changing HKLM\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon → Userinit (REG_SZ) to a wrapper for Userinit.exe.

(Do not use rundll32 for locking, though. Write something in C# or Python or whatever else.)

Change your logon shell at HKCU\Software\Microsoft\Windows NT\CurrentVersion\Winlogon → Shell (REG_SZ) from Explorer to a program that first calls LockWorkStation(), followed by starting of the real Explorer.exe.

Or do it even earlier by changing HKLM\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon → Userinit (REG_SZ) to a wrapper for Userinit.exe.

(Do not use rundll32 for locking, though. Write something in C# or Python or whatever else.)

Change your logon shell from Explorer to a program that first calls LockWorkStation(), followed by starting of the real Explorer.exe.

Change your logon shell at HKCU\Software\Microsoft\Windows NT\CurrentVersion\Winlogon → Shell (REG_SZ) from Explorer to a program that first calls LockWorkStation(), followed by starting of the real Explorer.exe.

Or do it even earlier by changing HKLM\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon → Userinit (REG_SZ) to a wrapper for Userinit.exe.

(Do not use rundll32 for locking, though. Write something in C# or Python or whatever else.)