When you want to interrupt your Windows session and let someone else use the computer, go to the Start menu. Click Log off and then Switch User. Windows XP then will be ready to welcome a different user.
When everyone's finished, go to the Start menu and click Turn off computer. The next time you log on, the Welcome screen will be the first thing you'll see. Just click your name, type your password if you have one, and you'll be back at the Windows desktop.