Is it possible to automatically log in in Windows XP?
Click Start, and then click Run.
In the Open box, type control userpasswords2, and then click OK.
Clear the "Users must enter a user name and password to use this computer" check box, and then click Apply.
In the Automatically Log On window, type the password in the Password box, and then retype the password in the Confirm Password box.
Click OK to close the Automatically Log On window, and then click OK to close the User Accounts window.
An alternative to Molly's solution would be to use TweakUI, part of Microsoft's PowerToys for Windows XP.
(TweakUI) gives you access to system settings that are not exposed in the Windows XP default user interface, including mouse settings, Explorer settings, taskbar settings, and more.
The reason I mention it is that not only can you enable automatic login, but the tool exposes a wealth of other system options which can easily be changed with the GUI. I think it's an important tool that all power users should at least consider downloading and looking at once...