Open up regedit, and in [HKEY_CURRENT_USER\Software\Microsoft\Windows NT\CurrentVersion\Winlogon] change the "Shell" value, to just stop explorer from lauching either make the value blank or point it to another app. I personally reccommend DLing 'Dud' (www3.telus.net/_/dud/) and using a path to it's .exe instead of leaving the parameter blank.
[Message Edited]