Sounds like Auto-Logon is enabled on your machine, and it was set up before you changed your password.

Disable auto-logon this way:
1. Open the Charms Bar and type netplwiz in to the search box and press enter.
2. In the dialog box displayed make sure the 'Users' tab is selected.
3. There is a check box marked 'User must enter a username and password to use this computer' - Make sure this is ticked.
4. Click 'Apply' and you will be done.

This will mean that you have to type a password to login in each time, but this is a far more secure option than Auto-Login, which should never be available on any platform - If someone gains access to your PC then it's trivially easy to steal your data!

HTH

Neil