If this happened recently from no intervention on your part, (meaning that you have never previously used the Welcome Screen and was set to auto logon and that has changed) this has to do with the .Net Framework 1.1 update.

This update adds a new user called aspnet_wp account. The aspnet account/user can only be deleted, not disabled. Information on what the user account would be needed for:

When you run an ASP.Net application on a WebServer, not necessarily on your local machine, that is the account the Web Server uses for credentials/permissions. ASP.NET is a programming framework built on the common language runtime that can be used on a server to build powerful Web applications. ASP.NET offers several important advantages over previous Web development models: More information here: http://docs.aspng.com/quickstart/aspplus/doc/whatisaspx.aspx

The ASP.NET worker process (Aspnet_wp.exe) should run with a different and less privileged identity than the Windows default System identity. This allows the process to run as a relatively un-trusted user so that hosted Web applications do not have administrative privileges and cannot compromise the integrity of the server. More information here: http://tinyurl.com/aedb

If this applies to you and you want to re-enable auto logon: Once the account is deleted, apply these settings:

1. Go to Start/Run and type in:  control userpasswords2 and press ok.

2. On the Users tab, clear the Users Must Enter A User Name And Password To Use This Computer check box and then
    click OK.

3. In the Automatically Log On dialog box that appears, type the user name and password for the account you want to be
    logged on each time you start your computer.

Add Control UserPasswords2 to the Control Panel (Line 1)
http://www.kellys-korner-xp.com/xp_tweaks.htm