From http://www.expta.com/2008/04/how-to-enable-autologon-for-windows.html

Once you join a server to a domain, Windows will automatically delete the AutoAdminLogon value from the HKLM\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon registry key. This causes the userpasswords2 control to hide the “Users must enter a user name and password to use this computer” check box shown above.

Here’s how to get the missing checkbox back and configure Autologon:

• Open a CMD prompt and enter the following (all on one line):

• Click Start, Run and enter control userpasswords2
• Clear the checkbox for Users must enter a user name and password to use this computer and click OK
• Enter the user name and password that will be used for Autologon and click OK