This may be due to a networking software (Cisco VPN client or other)
installed. It modifies the GinaDLL entry in registry and disables FUS and
Welcome Screen.
Manual Operation:
---------------------
The Default Windows Logon Interface May Not Appear After Installing
Third-Party Program http://support.microsoft.com/?kbid=302346
[ After you do so, Windows uses the default Graphical Identification and
Authentication file (Msgina.dll)]