Might be something to do with "Fast User Switching.
Select the On resume, password protect check box if not using Fast User Switching.
If Fast User Switching is turned on, select the On resume, display Welcome screen check box.
Some software like MRU Blaster by Javacool Software can cause Screensaver problems.
Or try this thread.
XP Pro Screensaver Quit Working
thread779-453976
Windows XP Screensaver Timeout Problem
thread779-639552