Start > Run > Away > gpedit.msc to bring up local Group Policy (assuming a standalone system, otherwise do this at the domain level)
Drill down to User Configuration > Control Panel > Display and enable these three items: Screen Saver, Password protect the screen saver, and Screen Saver timeout. But don't specify a screensaver executable name. Now the system will autolock at X number of minutes (default is 15 minutes) but just displays a moving WindowsXP logo. Maybe that counts as a screensaver to you, dunno.