There's also another option: start/run/control userpasswords2
UN-check the box at the top that says: Users must enter a user name and password to use this computer.
When you click on Apply, it will ask you who to log on as.
Doing it this way you can still use the winkey&L to lock your username and go to the normal XP Welcome screen. If you have other poeple that use your computer and don't want them using your admin account, this works nicely. This takes for granted that you have disabled the option to shutdown from that screen!