Its an extra security feature in Windows 2000. Some people can write a program that looks like the login screen for windows but what it really is, is a Keylogger that copies down every key you press, in effect, saving you username and password, so that the person can come back later and find out the username and password of anyone who has logged into the computer.
Pressing CTRL+ALT+DEL at the login screen is a security measure against this. unless there are NO programs running and you are in fact at the actual login screen, pressing ctrl+alt+del will take you to the windows task manager, where you can then shutdown the keylogging program if one is running, or any other program that may be running. That way people cant steal your passwords and stuff. If there are no hidden programs running then it will take you to the actual login screen without bringing up the task manager.