Does your user account have a password? If so, then there may be a policy in place
Click Start, Run and enter REGEDIT Go to:
HKEY_CURRENT_USER\Software\Policies\Microsoft\Windows\Control Panel\Desktop
Look in the right pane for a value called ScreenSaverIsSecure If it exists, its probably set to 1. If so, double click it and change it to 0 (zero). If it doesn't exist, right click in a blank area of the right pane, select New, String value and name it ScreenSaverIsSecure. Double click the value you just created and set it to 0.