Task Manager has been disabled by your administrator

Method 1
Click Start, Run and type Regedit.exe
Navigate to the following branch:
HKEY_CURRENT_USER \ Software \ Microsoft \ Windows \ CurrentVersion \ Policies\ System
In the right-pane, delete the value named DisableTaskMgr
Close Regedit.exe

Method 2: Using Group Policy Editor - for Windows XP Professional
Click Start, Run, type gpedit.msc and click OK.
Navigate to this branch:

User Configuration / Administrative Templates / System / Ctrl+Alt+Delete Options / Remove Task Manager
Double-click the Remove Task Manager option.
Set the policy to Not Configured.