Has anyone heard of a USB device (keychain) that locks the computer which won't work without it?

"The USB Wireless Security lock is a simple yet effective means to ensure computer access is limited to an authorized user. Each kit is composed of a USB receiver dongle connected to the computer, and a battery-powered access transmitter, which is to be carried by the authorized user. When the user moves more than 2 meters away from the computer, the security dongle will disable access to the computer until the user carrying the transmitter has returned within the vicinity of the computer."

http://www.thinkgeek.com/gadgets/security/698d/

Yes, but not for free, what it does is enables external device authentication so you select a certain USB drive and the token is installed to the USB drive. The PC will not boot (or do anything of consequence) without the USB drive being connected to the PC.

The other way is to have it store the password in the master boot record, and if you don't enter the right password, you can't get past the splash screen and no amount of coaxing will boot Windows. The entire Hard Drive is also encrypted so no information can be pulled off of it.

no...but if you use Windows XP, you can lock your computer when leaving it for a few minutes/hours by pressing the windows key and "L" at the same time.