A change to Winlogon.exe in Service Pack 6 may cause it to hang when you Close all programs and log on as a different user.
A Hotfix is now available:
x86 Download Center: Q245148i.exe
X86 FTP: Q245148i.exe
Alpha Download Center: Q245148a.exe
Alpha FTP: Q245148a.exe
A work around is to use CTRL+ALT+DEL and then press Logoff.