How do I login automatically with Windows XP Pro?

Yes there is. I use it myself for all the same reasons you've outlined.

It's not difficult, but I do download a helper utility from Microsoft. And
after we do that, we need to talk about the security implications of auto-login
in general.

Start by grabbing a copy of TweakUI
from microsoft.com. TweakUI has a number of
nifty features that allow you to adjust or "tweak" many of the features of
Windows XP that aren't otherwise or easily exposed.

Once you fire up TweakUI (most likely under Start,
All Programs, Powertoys for Windows XP), one
of the options on the right is "Logon" and underneath that, "Autologin". There
you can specify the account that you want to use as well as that account's
password, which is then encrypted and stored in the registry. The next time you
boot up, your machine will automatically login to that account.

This video walks you through those steps:

Now, about the security implications.

You've probably already heard me say "If it's not physically secure, it's
not secure" and that's nowhere more true than in this situation. Anyone who
can physically get to your machine can login as you, even if the login
screen is up. That login screen might be the login required after a screen
saver kicks in or the login that is shown when you're accessing your machine
via remote desktop.

But your machine logs in automatically.

That means all someone need do is push the reset button, or turn off the
power and turn it back on again, causing your machine to reboot. Reboot and
login, that is, after which they have access to everything associated with that
account.

If you do need automatic login, then I'd recommend making sure you use an
account that does not have administrative privileges, and/or making
sure that the machine itself is appropriately, physically, secure.