(Don't have XP Home in front of me right now so trying to imagine the correct steps!)
Try to logoff as you normally would but choose the option to "Switch User". This will bring you back to the login screen, but leaving all your programs etc running in the background for you to log back in. I think that there must be more than 1 account created on the machine for this to work (If so, create a dummy user account via the control panel)
You can also set certain screensavers to do this (so, for example, after 5 minutes of inactivity it reverts back to login page when the mouse/keyboard has been touched/keyed). Again, once you log back in, your desktop will be exactly as you left it (programs running, unsaved files still open etc)