For some obscure reason I can no longer switch users on my Thinkpad (T61, Windows XP professional) without logging off first. This behaviour appeared while I was struggling with the ThinkVantage tools; but how can I get back to the usual behaviour ("switch user" as option in Shut Down menu, etc...)?
Following alex's answer, I got the message "A recently installed program has disabled the Welcome Screen and Fast User Switching. To restore these features, you must uninstall the program. The following file name might help you identify the program that made the change: vrlogon.dll."
This turns out to be from the fingerprint scanner, and I have not been able to find a working solution. The lenovo advice here did not work for me.