For XP Pro: Go to Start/Administrative Tools/Local Security Policy/Security Settings/Local Policies/Security Options
Accounts: Limit local account use of blank passwords to console logon only. This is enabled by default, disable it.
For XP Home: (Keith Miller) Go to Start/Run/Regedit and navigate to this key:
Value name: limitblankpassworduse, Type: REG_DWORD, Data: 0 (disabled) 1 (enabled)
For Home: Run Scheduled Task without a Password (Line 67)
Windows XP FAQ