1. click on "Start" – then click on "Run" – and type"control userpasswords2"
2. click OK
3. On the Users tab, clear the "Users must enter a user name and password to use this computer" check box and click "Apply".
4. Select the user you want to log on  & click OK. A dialog will appear that asks you what user name and password should be used to logon automatically, just click "OK".

Then go to Control Panel / User Accounts, and click “Change the way users log on or off”, and untick both “Use the Welcome Screen” and “Use Fast User Switching”

[Taken from post by: Dirk Diggler on TweakXP board.]