I don't know how I forgot how to do this, but the place to go is Control Panel > User Accounts, under the "Select logon and logoff options" link. After I remembered, I found that my problem was brought on by MrvGINA.dll which was installed with a Netgear wireless router.
I found the solution to my problem here:
Netgear's mrvgina.dll has disabled fast user switching, Anyone know how to fix?
Thanks anyway people.
Cheers