Open your registry and find the key below. 

Create a new binary value, or modify the existing value, named 'NoLogOff'. Modify the value to equal '01 00 00 00' to disable the Log Off prompt, or '00 00 00 00' to enable. 

Logoff, or restart Windows for the change to take effect. 

Note: This setting relies in Internet Explorer 4.0 or greater being installed. 

Key:[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer]
Value Name: NoLogOff
Data Type: REG_BINARY
Data:01 00 00 00
More info: http://support.microsoft.com/support/kb/articles/q177/9/03.asp