The second method of having your system logon automatically is through a command that doesn't seem to be widely known.  The benefit to using this method is that your password isn't stored in plain text inside of your registry.

Windows XP:

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.

Windows Vista & Windows 7:

1. Hold down the Windows (between the Ctrl and Alt Keys) key then pres R , type control userpasswords2, and then click OK.
2. Clear the "Users must enter a user name and password to use this computer" check box, and then click Apply.
3. In the Automatically Log On window, type the password in the Password box, and then retype the password in the Confirm Password box.
4. Click OK to close the Automatically Log On window, and then click OK to close the User Accounts window.