First do this:
Fix Windows® XP Logon/Restore Welcome Screen
Then:
1) Click on Start
2) Click on Control Panel
3) Double-click on User Accounts
4) Click on "Change the way users log on or off"
5) Uncheck "Use the Welcome Screen" (note: this will also disable "Fast User Switching")
6) Click on Apply Options
7) Close the User Accounts window and the Control Panel
8) The next time you reboot your computer, the classic login prompt will be used
If you have a password set you will still need to enter that password.