You will need to make some changes in the registry.
If you aren't confident with modifying to the registry, I recommend you don't carry out the follow steps:
Start > Run > Type 'regedit'
Navigate your way to: [HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon]
1. Add a new string value named 'DefaultUserName' and set it to the username you wish to automatically logon as.
2. Add a new string value named 'DefaultPassword' and set this to the password for the user entered above.
3. Add a new string value named 'DefaultDomainName' and set this to the domain of the user. Ignore this value if the NT box is not participating in NT Domain security.
4. Add a new string value named 'AutoAdminLogon' and set it to either '1' to enable auto logon or '0' to disable it.
Exit and restart, Windows should not ask for a password and automatically show the desktop of the user.
Note: The password is stored in registry, which means anyone who has access to the machine has access to the password.
EDIT: I was typing this before Waffle posted; I recommend you follow Waffles advice as it's easier :)