I came across a nice tip here on How to Make Windows Welcome you With an Audio Voice Message During Logon.
To use this trick, follow the instructions given below:-
Open Notepad and Copy, Paste below Code. Write any desired text.
Dim speaks, speech
speaks="John, Welcome to your Computer"
Save it as a .vbs file and place it in the startup folder.
startup folder : click start then all programs then startup
that is for vista but from memory same for xp
so just drag and drop the file into there
SOURCE : IPT Fourms