To pop a banner which can contain any message you want to display just before a user is going to log on, go to the key:
Now create a new string Value in the right pane named LegalNoticeCaption and enter the value that you want to see in the Menu Bar. Now create yet another new string value and name it Legal NoticeText.
Modify it and insert the message you want to display each time Windows boots.This can be effectively used to display the company's private policy each time the user logs on to his NT box.
"Windows XP Tips: Pop Up a Message at Start Up "
Reference : techpraveen.com