There is information on the Microsoft website on how to do it here:
http://support.microsoft.com/kb/315231
This webpage gives 2 ways to do it. The second way is much easier, at the bottom of that page:
1. Click Start, and then click Run.
2. In the Open box, type control userpasswords2, and then click OK.
3. Clear the "Users must enter a user name and password to use this computer" check box, and then click Apply.
4. In the Automatically Log On window, type the password in the Password box, and then retype the password in the Confirm Password box.
5. Click OK to close the Automatically Log On window, and then click OK to close the User Accounts window.