Police chiefs at Buckingham Palace ordered that Ms Rhys-Jones be given armed guards, according to a report in The Sun newspaper.

Ms Dando was shot outside her home in Fulham, west London, nine days ago.

The couple will tie the knot on 19 June

But the prince's fiancée was embarrassed to find that she had been locked out of her offices when she arrived at work escorted by a police bodyguard on Wednesday.

She left after there was no response to the doorbell at the central London offices of her public relations firm.

Ms Rhys-Jones returned 10 minutes later and successfully gained access to the building after a colleague arrived with a set of keys.

"I do not think I did quite well enough last time. I am only here for your entertainment," she told reporters.

The guard drove off in her Saab convertible after she went into the building of R-JH PR, and picked her up in the same vehicle when she left work in the afternoon.

Dando's royal link

Ms Rhys-Jones and Ms Dando, 37, had met on several occasions.

Ms Dando was to have presented a BBC programme about past royal weddings, to be broadcast shortly before the marriage of Ms Rhys-Jones and Prince Edward at St George's Chapel in the grounds of Windsor Castle, near London, on 19 June.

Ms Rhys-Jones, 34, is understood to have previously refused police protection.