SwisherTech

Found it. I did not even need to write a script. Just put a shortcut to C:\Windows\System32\tsdiscon.exe in your startup folder.

I found this solution at this site: http://www.winhelponline.com/blog/how-to-automatically-login-to-windows-and-then-lock-the-workstation/

Here is another site if you do want to write a script in order to lock a remote workstation.

http://www.microsoft.com/technet/scriptcenter/resources/qanda/nov04/hey1115.mspx