If you have more then one user account setup then that is why it is asking this.I did find two different ways to do this:
I myself prefer the second method as I have used TweakUIXP with great results in the past. You can get it from my signature below
Windows XP - solution 1:
* Select Run from the Start Menu, type control userpasswords2, and click Ok.
* Turn off the Users must enter a user name and password to use this computer option, and click Ok.
Windows XP - solution 2:
* If you have one user account and no password configured, Windows XP will log you in automatically. Otherwise, you'll have to do the following:
* Obtain and install the Windows XP version of TweakUI.
* Open TweakUI (it's in Start -> Programs -> Powertoys for Windows XP).
* Expand the Logon branch, and click Autologon.
* Turn on the Log on automatically at system startup option, type your username and password, and click Ok.