Sounds like one of two things:
1.)
In setup you've selected the option to add the computer to a domain. Unless you are setting this computer up at your work, or a home network ubber geek, I doubt you have a domain running. This means a format, reinstall, and try again.
-OR-
2.)
I had this happen to me once with an install of XPPro pre SP1. I went through the setup of XP and it never asked me for an admin password. At the time I thought it was odd and keep going back and forth through the setup looking for the correct password setup screens, but they simply were not showing up. I did some reasearch (on my laptop) and could not find a valid answer to my problem. Unfortunately I had to format and reinstall.
I know these aren't the answers you are looking for, but I'm not sure there is any other way....sorry! (I know someone out there will probably disagree with me on this one, so hold tight for another answer.
)