You are quite right. There's no such thing in Windows 98. Your choices are:
1. Accept it.
2. Switch to XP.

I don't know of any third party software that adds such a feature to Windows 98, but it might exist.

Things that can be done:
- put a BIOS password on the machine
- give all users a password and use Xteq (freeware download) to disable the cancel key on the logon screen, forcing them to use a password. I have never done so, but I remember seeing that it had such a setting.

But once somebody has logged on, they can do everything on a Win 98 machine.

Hope this helps.