Which would be assinine if they did so. However VBprogrammer is right in that privilege levels are there to use IF the OS designers feel they need to. Really for PM all you need for any one program is 2 descriptors. You don't have to even use a segmented model, however, I do believe Windows XP does use a segemented model rather than 2 wide open segment descriptors. The Intel tech ref book 2 explains how to setup the PM 32 environment for code and describes several approaches one might take to setting up the descriptors.
Now you can invoke an interrupt in PM via the IDT, but this is where Windows does not allow you to. However check out DJGPP for DOS and you will see that it allows for interrupts. It is more inline with Intel's train of thought and design, however, to replace interrupts with driver calls and this is what modern OS's have done.
I cannot explain everything concerning protected mode programming, segment descriptors, LDT, IDT, GDT, TSS, etc, in one post. Again go get the Intel tech refs and read em. They are chocked full of information written by the guys who developed the CPU. Invaluable resources. You must get them.
This is a thread where we really need CompuBoy. I must admit my assembly knowledge has suffered with my recent DX adventures. DX rarely requires assembly and when it does, it's normally a fast memory copy or something like that.