I would NOT recommend setting a BIOS Pasword, I WOULD however, recommend setting a password for your account. I see your running Windows Vista.. Start>Control Panel>Click Classic View in Left Pane>User Accounts>Add a Password/Change My Password...
The reason I don't recommend setting a power on password is simple. When.. Not IF but when, you do forget that password, the only way to reset it is by flashing BIOS..