http://support.microsoft.com/default.aspx?scid=kb;en-us;324737&Product=winsvr2003
You must do this as user administrator. 

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\WindowsNT\CurrentVersion\Winlogon

Modify String Key: DefualtUserName
Modify String Key: AutoAdminLogon to 1
Add String Value: 
  DefaultPassword


In Windows XP:

http://support.microsoft.com/default.aspx?scid=kb;en-us;315231&Product=winxp