John,

It is normal behavior for Windows (XP and Vista). Most of the home users doesn't put any password after installing Windows, but when You are logging-on to the same computer through the network, Windows require password, so the solution is simple:

When You boot-up to the Windows, go to the Control Panel, and create the password for that user (the one You use to boot-up the computer), or create another user with the password and use this user for network connection.