Here's a simple way of turning on autologon on an XP machine:
1. Click Start, then Run, type control userpasswords2 and click OK.
2. Deselect the checkbox labeled "Users must enter a user name and password for this computer" and click OK.
You could use this for example on a kiosk machine that displays Internet Explorer full screen to let people browse the web and check their webmail. Don't use this on a standard desktop machine however as it makes for a pretty big security loophole on your network.