Assuming Windows 2000 or XP Pro, here's another possible way, albeit much longer:
Regedit
HKEY_LOCAL_MACHINE
SOFTWARE
Microsoft
Windows NT
CurrentVersion
Winlogon
Modify "DefaultUserName" to your user name ie., after the = sign
Right-click, New, String Value "Default Password"
Modify "DefaultPassword" and put in your password
If you're on a domain you'll need to modify "DefaultDomainName" to = your domain name
And lastly, right-click, New, String Value "AutoAdminLogon"
Modify "AutoAdminLogon" and put in a value of 1
So you end up getting as an example:
DefaultUserName=MyName
DefaultDomainName=Domain
DefaultPassword=password
AutoAdminLogon=1
This works for both Win2k and XP Pro. YMMV on other O/S versions.