Thew option changes names depending on whether you are using XP with fast user switching/welcome screen or not. If you are using 2000 or XP without the welcome screen, the option is labelled password protect, otherwise it says "On resume, display Welcome screen." That's the option you need to do what you want to do.
This assumes you can trust the person not to use your account anyway if you don't have a password set for your account. If you can, then that's all you need. for any real security, though, the administrator really needs to have a password set.