For those who are using Windows XP, if your Windows User Login does not use a password, then Scheduled Tasks won't work. But there is a fix for this on "Kelly's Korner XP Tweaks" at
http://www.kellys-korner-xp.com/xp_tweaks.htm - but be sure to backup your registry (or set a manual Restore Point) whenever using anything on that page. The relevant tweak is "67. Run Scheduled Tasks w/o PW".
I've seen this problem come up for people using Windows XP, every time that Windows Scheduled Tasks is mentioned, so I thought this might be useful...
PS It probably applies to Windows NT and Windows 2000 as well.