1) Click Start, Run and enter CONTROL USERPASSWORDS2
2) Select the user account you want automatically logged on (this avoids the Administrator account being selected by default)
3) Uncheck Users must enter username and password..........
4) Click Apply
5) In the next dialog, enter the password, if any, for the account you chose in Step 2
6) Ok your way out
You can also set this option using TweakUI for Windows XP.
http://www.microsoft.com/windowsxp/downloads/powertoys/xppowertoys.mspx
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Doug Knox, MS-MVP Windows Media Center\Windows Powered Smart Display\Security
Win 95/98/Me/XP Tweaks and Fixes
http://www.dougknox.com