As best as I understand it, normally you'd need to go to the user control panel in XP and in "Change the way users log on and off" untick the "Use the welcome screen" option. To force this option you can run (Start -> Run) "gpedit.msc", browse to Computer Configuration -> Administrative Templates -> System -> Logon and set "Always use classic logon" to Enabled.
I was pretty sure though, that when connected to a domain, XP would only show the NT-style login box so I don't know why your XP machines are not doing that.