In reply to Dispater:
What are you trying to secure? The laptop? Some of the files on it? All of the files on it?
What level are you trying to secure it to? Keeping casual thieves out? Industrial espionage? Keeping the NSA out?
As has been said, if the attacker has physical access to the machine, your windows password does nothing. Just whack a CD in the drive, follow the on screen prompts and they're in.
If your laptop supports it, a easy way of getting a fair bit of security without the general performance hit that comes with encryption would be to set some passwords at the BIOS and/or ATA level. The former protects the laptop, it won't power up without the BIOS password. The latter protects your data, the drive won't talk to a computer (your laptop or any other computer it's plugged into) without the ATA password. Done correctly, this will put stealing/recovering your data commercially into the hundreds of pounds range. How you do this varies between different laptop manufacturers, but most support in in one way or another.
Don't forget to apply the same level of protection to your backups...