If you need to set autologon and twiddlying with registry hacks is daunting, see Autologon tips which points to freeware utility to do the work for you.
The detailed registry hacks have been moved to the registry section. Registry Tip #34: Automatic Logon
Whether you use the Autologon utility or the registry approach, there are times when you must logon as another user or need the logon dialog to appear. Hold down the shift key until during boot until the logon dialog appears. See Registry Tip #34: Automatic Logon for a registry hack to block, value=IgnoreShiftOverride.