I really don't know if there is a possibility to hide or disable the Cancel button, I haven't used Win98/ME for a while... But, if you need password protection for your PC, I do know a neat trick:

All you need to do is right click the desktop, choose "Properties" and click the Screen Saver tab. Then select your favorite screen saver (for example, "Flying Stars"), and set a password for it. Now, you need to turn on your screen saver during windows startup. To do this, find the screen saver that you have selected (usually resides in the "c:\windows" directory and has a ".scr" file extension), and create a shortcut of it in the "c:\windows\Start Menu\Startup" folder. Restart your computer. If everything is done right, you should see your screensaver appear during startup. When you try to move the mouse, the screen saver will ask for the password that you have specified. Unfortunately, a user can bypass this kind of protection by entering "Safe Mode", but there may be some tools around to disable this...

Hope this helped a bit...

Just set DWord value "HKLM\Network\Logon\MustBeValidated" to 1.