HKEY LOCAL MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon
Look in the right pane for a value called Userinit. Its value should read:
C:\WINDOWS\system32\userinit.exe,
Including the trailing comma. If it reads anything else, double click the Userinit value and change it. This assumes that XP is installed on C:\Windows. If not, adjust the command line accordingly.
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If that does not help, see what startup applications are running. Get the Autoruns utility (as they call "superset of MSConfig") from www.sysinternals.com and inspect the startup programs.
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