The problem I have is that one of them removes my account password. And my account remain unprotected.
As for how they do it, since the other users have administrative privileges, they can change and alter you account. So to prevent them from removing your password and other account settings, change the other accounts to user accounts. Then change what permissions user have. With XP Pro it can be easy to do however, if you have XP Home then the settings are deep within the registry which you shouldn't touch.
So if I remember rightly and you have XP Pro, first open my computer.
Then Right Click drive C and select properties.
You will find near to top a tab relating to security or permissions. Click on that tab and you will find all the options for permissions on that drive. Change the ones relating to limited-user-accounts to whatever permissions you want the others to have.
Then make sure the account type that others are set to on the computer are limited user account (or change them to that if not allready done so).
Reboot the computer and all changes should apply.
That should be all the steps to it for XP Pro but it has been a long time since using XP Pro so don't be surprised if there are a few extra steps.