XP Pro has built in security to stop unauthorised people logging in to it. It requires a user name and password before allowing access. There are ways of stopping it asking but it will leave your PC wide open to anyone who wishes to use it via a network. Is that really what you want for the sake of saving a few seconds typing?

Having said that, if all you are doing is sharing the printer and not the files on the XP Pro PC itself there should be a way of doing it. When you set sharing up on the printer did you tell it to ask for a user name and password?