Automatic logon.

Check this out:

http://support.microsoft.com/support/kb/articles/Q253/3/70.ASP

(Sometimes when I cut and paste URL's it looks ok to me but once the answer is posted, an extraneous space will have crept in. Make sure you delete any extraneous spaces or the page won't load)

Go to Start->Settings->Control Panel->Users and passwords

There you will found a checkbox to choose wether or not to let users login. If you uncheck it, Windows will ask you what user and what password to use.

Please don't shoot me for not being quite correct, but I'm currently using autologin and this is based on what I see.