This doesn't happen if you have only one User account on your system. So you must have more than one User account and Windows doesn't know which one it has to Log On.
Have a look at C
windows\All users. If it's empty, you have only one User. All your Desktop and Start Menu information is in C
Windows\Destop and C
Windows\Start Menu.
Users and Passwords are configured in Start/Settings/Contol Panel. Off the top of my head I can't think how to
delete unwanted users and get back to one. It could be that, once you've gone down that route, you're stuck with it.