private network warning in XP

Try taking a look in:

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\WindowsNT\CurrentVersion\WinLogin

...there may be a setting called "LogonPrompt", delete its value.

...also check for a setting called "Welcome", you may want to remove this value also.

There are other setting for messages AFTER the logon prompt here also.

Keep in mind that this can also be controlled with Group Policy so you may not be able to change the settings locally.

Cheers!
~Sean

Windows NT and Later
To enable a warning message to be displayed, make the following changes to the registry:
Start Registry Editor.
Go to HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon

Modify the following values: Name Data Type Value
-----------------------------------------------
LegalNoticeCaption REG_SZ Dialog Caption
LegalNoticeText REG_SZ Dialog Message

NOTE: This dialog box is presented to the user after they press CTRL+ALT+DEL and before the logon dialog box is presented.

Windows 95 and Windows 98

To enable a warning message, modify the following registry key:

HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Winlogon

The string values will appear on the logon banner.

Example:
"LegalNoticeCaption"="Important Notice:"
"LegalNoticeText"="No Unauthorized access allowed"

hope this helps