I managed to lock the PC immediately on startup while loading windows/startup items in the background. This works with Windows editions that has group policy editor.
Step 1: Open notepad, then paste this code:
WScript.CreateObject("WScript.Shell").Run("rundll32
user32.dll,LockWorkStation")
Step 2: Click File>Save As and in Save as type dropdown menu, choose All Files
Step 3: In the File Name field, enter LockWorkStation.vbs and save the file to C:\Users\YourUserName\Documents
Step 4: Hit WindowsKey+R, type regedit and press ENTER
Step 5: Go to HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Policies\System
Step 6: Right Click on a blank space and click New> DWORD (32-bit) Value and press ENTER
Step 7: Double click the newly created REG_DWORD file. In the Value name type RunLogonScriptSync and in the Value data type1 and then press ENTER
Step 8: Hit WindowsKey+R, type gpedit.msc and press ENTER
Step 9: Under Computer Configuration, go to
Administrative Templates > System > Logon then Double Click Run these programs at user logon
Step 10: Click Enabled, and on Items to run at logon click Show...
Step 11: Type C:\Users\YourUserName\Documents\LockWorkStation.vbs and click OK repeatedly until all windows are closed
Step 12: Hit WindowsKey+R and type control.exe userpasswords2 then press ENTER
Step 13: Uncheck Users must enter a user name and password to use this computer. then click OK (type in your password if it prompts to do so)
Step : Restart your PC.
Now whenever you start your PC, the .vbs script will run first before anything else. This will ensure that your PC is locked before the desktop appears.
Note: You can change C:\Users\YourUserName\Documents\ to wherever you want to store your script.