Laptops are all the rage these days, but they're easily stolen, even from places you think are safe, like work. Even if you just lose a laptop, you probably don't want anyone to have easy access to all your data just by pressing the power button.
That's why the first step (definitely not the last, but the first step to protecting your laptop) is toon your user accounts. Most people think this is a pain, but it's easy to set up and a small price to pay in inconvenience to keep your data safe.
Go to Control Panel and choose User Accounts.
Choose the Advanced tab.
Check the box that says Require users to press Ctrl-Alt-Delete.
If that's not how your Windows machine looks, try this from the User Accounts screen:
Click Change the way users log on or off.
Uncheck the welcome screen option.
This forces a user to enter a username and password when they log in.
Now go back to the Control Panel and open Display Options. Click the Screen Saver tab.
Check the option that makes the screen saver ask for a password.
Then press OK.
Finally go back to the Control Panel and this time choose Power Options.
Select the Advanced tab. And make sure you check the box by Prompt for password when the computer resumes from standby.
Go to System Preferences and choose Security.
Check Disable automatic log-in.
Check Require password to wake this computer from sleep or screen saver.
Now you need to take other action like logging out of accounts, encrypting data, and so on. But you're on the right track to a safer laptop setup. Just in case.