From Microsoft?s Knowledge base article
Q154529
SUMMARY
The status of the NUM LOCK key is specific for each user, and it is disabled by default. If you want the NUM LOCK key enabled for use before a user presses CTRL+ALT+DEL to log on, you must use Registry Editor to change the default behavior.
MORE INFORMATION
WARNING : Using Registry Editor incorrectly can cause serious problems that may require you to reinstall your operating system. Microsoft cannot guarantee that problems resulting from the incorrect use of Registry Editor can be solved. Use Registry Editor at your own risk.
For information about how to edit the registry, view the "Changing Keys and Values" Help topic in Registry Editor (Regedit.exe) or the "Add and Delete Information in the Registry" and "Edit Registry Data" Help topics in Regedt32.exe. Note that you should back up the registry before you edit it. If you are running Windows NT or Windows 2000, you should also update your Emergency Repair Disk (ERD).
To enable NUM LOCK before a user logs on, use the steps below.
1. Run Registry Editor (Regedt32.exe).
2. Navigate to HKEY_USERS\.Default\Control Panel\Keyboard.
3. Change the value for InitialKeyboardIndicators from 0 to 2.