Kelly's Korner (one of the most useful tweaking sites on the web) has a vb script that will change the registry settings for you:
http://www.kellys-korner-xp.com/regs_edits/num lock.vbs
or you can run regedit to do it yourself:
HKEY CURRENT USER\Control Panel\Keyboard\InitialKeyboardIndicators
0 = numberlock off
2 = numberlock on
If you want the numlock on at the Welcome Screen you also need to change:
HKEY USERS\.DEFAULT\Control Panel\Keyboard\InitialKeyboardIndicators (same number values as above).