This is a "feature" of 10.3... if you use the same login and password on both your windows and OS X user accounts, you only need to login once from the windows machine, and OS X will allow access from that account on that machine without another login. There doesn't appear to be an option to turn this feature off, but Apple ought to make the option available. You shouldn't worry, because no one can access your Mac from another windows account, only from within your windows user account. So, don't forget to log out.