This is generally caused by the Net Framework update:
Welcome to Windows Screen Appears When You Start Windows XP After You
Install the .NET Framework 1.1:
http://support.microsoft.com/?kbid=827072
To correct:
1. Go to Start/Run and type in: control userpasswords2 and press ok.
2. On the Users tab, left click your user name then clear the Users Must
Enter A User Name And Password To Use This Computer check box and then click
OK.
3. In the Automatically Log On dialog box that appears, type the "user name
and password" for the account you want to be logged on each time you start
your computer.
Tip:
Add Control UserPasswords2 to the Control Panel (Line 1)
http://www.kellys-korner-xp.com/xp_tweaks.htm
/xp_tweaks.htm
Taskbar Repair Tool Plus!
http://www.kellys-korner-xp.com/taskbarplus!.htm
Any way to get rid of that annoying screen altogether? Only one user, no
network involved. Just me.