You probably have Fast User Switching turned on (it enables someone to log on to another account on the same computer without first logging off the current account).
In Windows XP, you can turn it off by going to the Control Panel, opening User Accounts, click "Change the way users log on and off", and uncheck "Use Fast User Switching".
In Windows Vista, it's a bit harder...
Go to the start button, choose Run, type gpedit.msc and hit OK.
On the left pane you want to open the folder Local Computer Policy > Computer Configuration > Administrative Templates > System > Logon
On the right pane you want to double click on "Hide entry points for Fast User Switching," click Enabled and hit OK. Then do the same for "Always use classic logon".