Gryphin : If I remember well, you can close a profil with applications still running (and you can pwd a profile). But a kid will always be able to shut down your PC. He will gets a warning that some profiles are still loaded, but I doubt he will care
After some querying to more geeky persons than me, it seems a harduous task to have an utility able to save and restore a program to the HD. One of the issue is that he wont be able to restore the application to the same memory segment that it occupied.
Altough a possibility exists to save the whole operating system (any OS). You have to use a virtual machine like the software VMWare, which allows you to create a virtual PC in to you PC (you can even have a virtual PC with XP inside a windows 98). With this utility, you can suspend and save to disk your virtual machine, and restore it and your will (along with SE IV running).
The problem is not that VMWare is difficult to use, it can be set to function in 5 minutes (you will have to spend an hour to install a windows in your virtual machine though). The problem is that VMWare is not freeware. If you want to meddle with the dark side, you can find serial keys, but we are far from having an honest and not cumbersome solution to save a simultaneous turn.
But theorically, if you pay your VMWare licence, you can. Or if you have some hundred dollars, buy a laptop with the system save feature
nb : I'm not encouraging anyone to do illegal things, I'm just saying a fact. Like the fact that most peer to peer Users are pirating things. Telling a thing is not encouraging to do it.