Sounds like your IT admin has locked the PC down probably using the administrator account. When they setup your user account they removed those options.

One way to solve this would be to use your XP CD and install XP again (make sure to back up settings like network, and so on)... but I wouldn't recommend it.

Talk to your IT guy and ask him/her why they removed the screensaver feature. And ask if they can add it back.. It's just a case of getting back into the admin account an enabling it for your user account.