i just had to deal with this exact problem!!
it's a few steps, but it works great:
step #1: go into your windows folder (c:\windows) and find 'explorer.exe' file.
it should be a picture of a computer. (you'll also see a file beside it called explorer, but that will lead you into my computer).
step #2: once you've located the explorer.exe file, right click, copy, and paste it in the same place. a new file will appear called 'copy of explorer.exe'
step #3: rename the new file yourname.exe (ex: chris.exe)
step #4: click on your start menu, and go to 'run'. type regedit and press ENTER.
step #5: there will be 5 or 6 folders. look for HKEY_LOCAL_MACHINE and double click.
then look for SOFTWARE, double click, then MICROSOFT, and double click. then WINDOWS NT, then CURRENTVERSION, then WINLOGON.
step #6: once inside the 'WINLOGON' directory, look for a file called "shell", and double click it.
step #7: rename the value data to read yourname.exe (or in my case... chris.exe).
step #8: restart your computer, and enjoy. :)
let me know how you make out.
(keep in mind, you dont have to name that file after yourself... you can call it whatever you want.)