Yes, it works.  Maybe try pasting the link into your address bar and see if that works.

Here are the instructions:

Click Start, Run and type CONTROL USERPASSWORDS2

Click Ok

Select the user account from the list (the account to which you want to automatically logon).

Uncheck Users must enter a user name and password to use this computer option

Click Ok

Type the user account password and complete the process.

For Windows XP Home apparently if you try to auto login to the built in admin account you get an error message.

"It is good to see ourselves as others see us. Try as we may, we are never
able to know ourselves fully as we are, especially the evil side of us.
This we can do only if we are not angry with our critics but will take in good
heart whatever they might have to say." - Ghandi