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The welcome screen, displaying all users, was introduced in Windows XP for user convenience. The option to change that back to the more secure, classic logon screen was possible from the control panel. That was removed from Vista's options, but it is still possible. Obviously, this is also possible in Windows 7.
NOTICE: For non-proffesional editions, see the last step.
Step 1Run & Search
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Open the start menu and run (shortcut: Windows key+R) or search "secpol.msc". The Local Security Policy window will open. Under Local Policies, click Security Options. Find "Interactive logon: Do not display last user name".