To create a login warning message such as the one you are reading do the following
1. Start RegEdit (regedt32.exe)
2. Move down to HKEY_LOCAL_MACHINE/Software/Microsoft/Windows NT/Current Version/Winlogin
3. Edit the following items:

Value Name:LegalNoticeCaption
 Data Type:REG_SZ
     Value:Text you want displayed on the title bar of the dialog box

Value Name:LegalNoticeText
 Data Type:REG_SZ
     Value:Text you want displayed before the user logs on

WARNING! This copy of Microsoft Windows XP is not genuine
C:\>Logon.exe /Warning/Message /cd.._