i just had this problem in win2k...msdn says to log out using ctrl+alt+del and it will stick...or edit reg as above. i had this before with nt4 and fixed it with the reg key. however, on my 2k box, the damn system set the reg key back every time i logged out!! very odd
so, my solution, which will help you, should you also have this prob, was to use regedt32 and set the privs on that key to deny everything, thus the OS didnt have write privs to set it back.