Password On Boot

I have a 40 GB Hard Drive..i am running two partitions a 20 GB Windows XP Pro & a 10GB Linux Red Hat 8.0; I have Windows account password that works perfectly..I am trying to set up a Password on boot ..but the system never lets me do that..everytime i press F8 on booting it brings me to the section of AMIBIOS that is associated with which device boots first i.e Floppy/Hard Drive/CD etc and it gives me 3 choices whichever i choose the system jumps to the GUI and the chance to boot either in Linux or DOS(Windows)..i even tried F2 even though that works with win 2000 and below..any idea what might have caused this dilemma..by the way i installed windows xp first then Linux.I Need a password on boot for the whole PC .