Obviously Windows Explorer is not running at logon time. The program that runs at logon time is specified in the registry at the following key: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon\Shell and is generally explorer.exe(considered the shell). Whatever is specified as the value of that key will be the first program to run after you logon. For instance, if you change the value to cmd.exe then a command prompt will be the first thing you see and not your desktop, which is controlled by explorer.exe.
Check that key to see if it has been changed to something other than explorer.exe. This is one way that I can see the problem you describe happening