If you’d like to replace the picture identifying each user on the XP welcome screen with something more personalized you can use the following procedure.
Go to start\control panel\user accounts. Select the user account you wish to change and click ‘change my picture.’
From here, select ‘browse for more pictures’ and locate the pic you wish to use. XP will automatically size the picture down to fit, but be aware that the welcome pics are rather tiny, so use a shot that has good detail to start with or it will be difficult to see.