I think (and I'm really not sure) that you are referring to something sometimes known as "Require users to press Ctrl-Alt-Delete before loggin on". This can be found in the Users and Passwords control panel in Windows 2000 (Advanced Tab). But in the title you mention XP, which seems odd to me. The default is to show the task manager in XP, at least when the machine is not in a domain.

Anyway, check here or here to see if it solves your issue, or look for "require CTRL+ALT+DEL before login" in Google. Hope this help.