The Windows XP Welcome Screen lists all user accounts created on the system. The welcome screen replaces the class Ctrl+Alt+Del login dialog.
I often work on other people's machines for repairs, and find it easier to have my own account (for frequent use), especially when users are being setup as users. I like to hide my account from the welcome screen, to do so:
Open the Registry Editor and navigate to the key:
HKEY_LOCAL_MACHINE\Software\Microsoft\Windows NT\CurrentVersion\Winlogon\SpecialAccounts\UserList
Create a new DWORD value, the name of the value should be the username you want to hide. Changing the value between 0 and 1 will change whether the user is visible on the welcome screen. 0 means the user will not be shown, and 1 means they will.
I haven't tried myself, but apparently this does work on Windows Vista. The only problem is that Windows Vista no longer has the classic logon, so it's impossible to login to your account from the Welcome Screen.