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Simple. Works for both XP and Vista(and most probably ancient versions of windows too! )

Go to: C:\Windows\System32 (if C is your installation partition)
Open gpedit.msc
Click on User Configuration > Administrative Templates > Start Menu and Taskbar
Find the entry that says “Remove Run menu from Start Menu”. Double click it.
Change the value to “Enabled.”

Done! Now [...]

Annoying. Annoying. This error msg: “Task Manager has been disabled by your Administrator.” is truly annoying whenever you try to run the task manager (Shortcut: Press CTRL+ SHIFT + DEL , CTRL + SHIFT + DEL). Well, this happens when:

It truly is disabled by the admin.
Virus

If it’s the second case, just update your anti-virus definitions [...]