Theoretically, it's not possible to switch users with Welcome Screen and Fast User Switching enabled. This tip tells you how to switch users with both Welcome Screen and Fast User Switching disabled. I don't support this tweak, nor any outcome arising of this method. It's one more XP tip.
Here are the steps:
Disable Welcome Screen & Fast User Switching through Control Panel, User Accounts applet.
Manually edit the registry and set AllowMultipleTSSessions=dword:0000001 in this registry key:
(See How to backup the registry, before modifying the registry)
Now, "Disconnect" the current user using Task Manager, Users tab.
Type in the Login name in the Classic Logon dialog and Login as other user.
If you want to switch back to the previous user, repeat the same procedure from that user account.
The Win + L cannot be used in this case to switch users. The only option is thru Task Manager. Win + L still brings up the Classic Logon dialog, but terminates the current session, unlike the Task Manager method.