It certainly is possible to have a login at startup, if you have just a
single login then normally XP will boot straight to that profile.
Click on Start > Control Panel > User Accounts
In here you can add/remove users, change/add passwords amd chnage the way
users logon. Make sure that you have a password setup if you have a single
account, or that you set up a second account.
If all this is inplace already but you are still been taken staight to a
specific profile then it is likely that you (or someone else) has set up auto
logon.
To disable this click on start, then run, type control userpasswords2, click
OK
This will open an alternative user dialog, make sure that there is a tick in
the box that says " Users must enter a user name and password to use this
computer".