I asked this question once before  on the forums and I got some responses saying you need a different Windows (Business, etc.) but one of them said to enable that in secpol.msc (get there by doing Win+R and type "secpol.msc") and click OK, if UAC is enabled enter the password, then  access Security Options. Select Interactive logon: Do not display last user name.
 
Double click it and select ENABLED, then click OK and it works, how it works is if you log out it will not list the users by default, that means you must know the username to login.