Unfortunately Android doesn't offer this functionality out of the box. There are several 3rd-party apps on the Market that can help though.
I personally use App Protector Pro on my son's tablet. This app allows you to set a PIN and then set up a "block list" of any installed apps, including system ones. Among other apps, I added Settings and Package Installer to this list. This presents the "password" prompt upon installation (or un-installation) of any apps, including from alternative markets (Amazon Appstore, GetJar, etc.) and even side-loading APKs. App Protector Pro itself is also by default set to be on the "protected" list.
Of course if your device is in the hands of a person that is somewhat knowledgeable of Android OS, they can do a bunch of things to circumvent this sort of protection, such as a factory reset from Recovery console, for example.