Is there a way to disable the "Guest" account in Win9x? Because that's what the Cancel button takes you to. Check in User Accounts or User Settings in Control Panel to see if you can disable guest accounts.
I just checked in WinXP Home and I have my Guest Account set to off, so that you have to log in to an account, except I only have one account, my administratorship, and it has no password and automatically logs me on.