Try the following:
1. Click Start, and then click Run.
2. In the Open box, type control userpasswords2, and then click
OK.
3. Clear the "Users must enter a user name and password to use
this computer" check box, then click Apply.
4. In the Automatically Log On window, type the password in the
Password box, and then retype the password in the Confirm
Password box. If your account doesn't have a password, leave both
lines blank.
5. Click OK to close the Automatically Log On window, and then
click OK to close the User Accounts window
Take a look here for more info:
http://mvps.org/marksxp/WindowsXP/welskip.php