I also set it manually through the windows registry. To do that all you have to do is:
1. Start -> Run -> regedit
2. Once regedit is up go and browse to this tree node
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon
There should be three string values in order for the Windows auto login to work
AutoAdminLogon - set this to 1
DefaultUserName - set this to the windows user you want to automatically log in as
DefaultPassword - set the user above's password here
If these strings are here are some are missing right click and go to New -> String Value
This has never failed me in 2000, XP or Vista and been doing it this way for over 10 years. Good luck!