Answering this question backwards:
You can turn off the Ctl-Alt-Delete login requirement via the "Local Security Policy" admin applet (Run > "secpol.msg" in Win2003, at least). It's in the "Security Settings > Local Policies > Security Options" folder, titled "Interactive Login: Do not require CTRL+ALT+DEL".
So, how to login the first time?
Use Remote Desktop. Ctl-Alt-Delete works fine in that environment (at least, when running with an OS X Host as in my case ... I think it you are running a windows host you need to use Ctl-Alt-Insert instead).
I've run into a related issue a number of times when trying to change the password of a guest Windows VM, and I've always driven myself nuts trying different keystrokes, none of which work. In my case it's with an OS X host.
What does work to bring , however, is turning on Remote Desktop on the guest machine & then RDP'ing into it. Then Ctl-Alt-Delete works.