Prefer that Windows XP would simply automatically log on?
You're not the only one. The welcome screen, on a PC with only one user, is quite useless. To disable it, first browse to Control Panel -> User Accounts (via classic control panel view), and delete all but the main and guest accounts.
Next you'll want to select "Change the way users log on or off" and uncheck "Use the Welcome screen." This will also automatically uncheck "Use Fast User Switching" as well. Finally, you'll want to browse to Start -> Run and type in the following:
Uncheck "Users must enter a username and password to use this computer" - you may then choose to store a password or proceed with no password. Click "OK" to save your changes.
Important Note for ASP.NET Users
If you have the ASP.NET framework installed, deleting the ASP.NET administrator will cause issues. This account was created with limited permissions for security purposes, but if you disable it your .NET applications may not work correctly. If you need to restore the account for any reason, you may do so by browsing to Start -> Run, and typing the following command:
Make sure to replace v1.1... with the .NET framework version you have installed.