Well by default Fast User Mode Switching should be disabled on Windows XP when it joins a Domain, however some Admins have expressed issues with it being problematic until it was disabled via GPO or script.

Please take a look here and see if any of these suggestions help.

Windows XP Professional Fast Logon Optimization
http://www.kixtart.org/ubbthreads/showflat.php?Cat=&Number=111153
 
Batch-less (or remove NTLOGON.BAT) Login script
http://www.kixtart.org/ubbthreads/showflat.php?Cat=&Number=81663
 
Use of %0\..\ to launch KiX
http://www.kixtart.org/ubbthreads/showflat.php?Cat=&Number=81645