"Lock the Taskbar" option is grayed out in Taskbar properties

When you right-click the Taskbar, the "Lock the Taskbar" option may be greyed out. This is due to a group policy / registry setting.

To unlock the Taskbar, try this:
Open Registry Editor (regedit.exe) and navigate to:
HKEY_CURRENT_USER \ Software \ Microsoft \ Windows \ CurrentVersion \ Policies \ Explorer
In the right-pane, delete the LockTaskbar value, and quit Registry Editor

For Windows XP Professional, you can also disable this using Group Policy Editor:
Click Start, Run and type GPEDIT.MSC

User Configuration | Administrative Templates | Start Menu and Taskbar

Set Lock the Taskbar policy to Not Configured