Good friend, it is not always a wise thing to actually follow "I heared that"s...
If you do a Google search for
"urban legend" "logon.scr" you'll see what I mean.
The good folks who architected Win32 might have "been born," as we all were, but they were not "born
yesterday."
Having said that... you never want to run your computer "routinely" in such a privileged mode that you could even
begin to do such things as "replace key components of the system." Sure, Microsoft goes to all kinds of histrionics to protect you from yourself, but that's not really the point: rogue-programs
abound in all systems that will manage to find a way to "execute 'as you'" and strive to do nasty things. So, you not-only do not want to consider doing such things yourself, but you also want to make damm-sure that no
other program, "executing as 'you'," would be able to consider it either.
Bottom line: if it's
not your computer, then "don't fsck with someone else's property." And if it's
yours, "don't even try to turn your computer into a lifeless brick." (It's easier to do that than you think, and
"then where would you be, smartypants?"

)