You need to install Logon Studio. It's a free logon changing program for XP and you can get it here: [link]
Then download the logon and doubleclick the NZ Style.logonxp file and the Logon Studio window will open and it will show in the list of available logons.
If you use Internet Explorer, sometimes it will change the file extension from .logonxp to .zip. You can either rename it back to .logonxp and doubleclick it, or unzip it and put the NZ Style folder in C:\ProgramFiles\Wincustomize\Logon Studio.
Then open Logon Studio, choose NZ Style from the list, and click "apply".