Hmm,
should really work with this tool, I remember having done this a few years ago. The question might be, which operating system you have.
In win2k prof it should also work the following way:
goto start/settings/control panel/user/advanced
uncheck a field that is named something like safe sign-on.
(Sorry for my Windows is not an English Version at the moment, so I don't have the exact links here).