Start up problems

I am running Widows XP Home edition and some times when I start up the computer I get a dialogue box telling me that the computer is locked and asking me for a username and a password. I do not remember setting it up this way. When I try to enter a username and password anyway all it does is beep. If I shut down and restart it does not happen. Why does it happen periodicly and how can I fix this problem from happening again?