/me refrains from laughing
First off, your first question answers your second. Some say it is possible to make an 'access denied' screen as you are saying. I haven't had much luck with it. The trick involves the registry. DO NOT MESS WITH THE REGISTRY WITHOUT FIRST BACKING IT UP AND LEARNING ABOUT IT! You can learn more at http://www.winguides.com
I believe I tried the reg hack once and it didn't work for me.
On the topic of your second question, just click cancel-as you said in your first question-when the prompt comes up. I think there is a way to delete these accounts but I'm not sure how. The only thing I can think of is deleting the .pwl's. I'm not sure if that will work, though.
Lastly, if you want a *more* secure windows operating system, consider investing in WinXP or Win2000.