Two possibilities spring to mind:
1) The PCs are not in a Domain - they are in a Workgroup and have no users, only Admin with No Password,so the PC automatically logs on as Admin . Just the same as if you have only 1 user, with no password, the PC automatically logs on as that user.
2) The PCs have TweakUI installed (or soemthing like it) - one of the things you can do with TweakUI is to force the PC to logon as a certain user (name and password supplied at setup).
Of course, these are Windows problems - it's just that I have never seen this problem associated with SMEserver.
You may have to go through the process of joining the WinXP boxes to the Domain (if you have one). It's not that difficult - search the SME forums for how to do it.
Cheers
Ian