A.L.A.R.M. is a free open source (GPL) utility for Windows XP and later. It silently sits in your system tray until you lock your workstation. If now somebody removes the A/C power connection to steal your laptop, A.L.A.R.M. will play a loud sound from your Laptop speakers until power is back again or you have unlocked your workstation.
Of course, this is little protection from theft, but better than nothing if you have to leave your laptop or portable alone for a moment.