I have exactly this setup on Windows XP Pro.
Microsoft make a free utility called Tweak UI. This utility enables you to change the login settings and pick an account which will auto login. (You could make these changes directly in the Registry, but using Tweak UI is safer.)
I wanted the account, which I set to auto login, to then revert to the login screen once the computer has started and done the login. (The result is that the computer logs in, but then presents the Welcome Screen so that users still have to login.)
To do this I set up a shortcut in the Programs > Startup group to trigger the Welcome Screen to appear. (Same effect as pressing the Windows Key and "L".)
To make the shortcut....
Set Target to "%windir%\System32\rundll32.exe user32.dll,LockWorkStation"
Set Start In to "%windir%"
Dave, July 2004