Best way is to password protect your Windows user account.
http://www.microsoft.com/windowsxp/using/setup/winxp/accounts.mspx

Sorry, neither Firefox or Thunderbird have that type of password protection. There's an extension available to add it to both, but it is easily by passed. And is not available from the official Mozilla Add-ons website

For what it's worth you can set a Master password to protect your saved passwords (those that you use for websites and such).

See also:

• https://support.mozilla.org/kb/Parental+controls