In Control Panel, select Users, then on the main Users screen, click on the "Change the way users log off and on" (I may have that wording off slightly) option. In the new window you get, unselect the "Welcome Screen" option.
I have found that Windows has some rather important configuration options that are not user friendly to say the least. In a "managed" environment some of these, such as the use of the Welcome Screen, make sense-you don't want Joe User (aka "idiot") mucking around with that sort of thing. But for single user and home installations, this should be much easier to alter.