If you want the Windows 2000 CTRL+ALT+DEL screen to appear in XP instead of immediatly jumping to the task manager simply deactivate the welcome screen:
start > settings > control panel > change the way users log on and log off > uncheck "Use the welcome screen"
now reboot your machine (it didnt work on my machine until I rebooted). now when you use CTRL+ALT+DEL you can do all the same things you could with 2000 (eg. Lock The Computer or force a shutdown)