Latest OS from Microsoft lab is Windows 7 has got built-in option to change Logon background Screen and doesn’t require third party tools to change Logon Screen however no such option for Windows Vista and Windows XP users.
Here is Freeware application Logonstudio from Stardock enables users to change the user logon screen of Windows vista and Windows XP. Logonstudio comes with hundreds of Logon screen as well as you can grab new logon screen from WinCustomize.com for free.
Logonstudio comes with editor for creating your own logon screen. You can build or modify logon screens by tweaking parameters on a list of elements. This allows you to customize everything from background to letterings to buttons.