This is been an issue at work for a long time, where due to the Fast Logon Optimization being enabled by default in XP Pro, the user was able to logon before the network connection was established and the netlogon script wasn't able to connect the network drives. While this problem was fixed by IT a while back through domain policies, I still didn't know how exactly and I just had it more recently on my stand-alone development box, that's not connected to any domain - the box was configured to autologon and run a few scripts at logon that required the network connection. As the box was booting quickly, before the network adapter was properly configured through DHCP, the scripts were failing to run.
In the end I just found that using the Group Policy Editor (gpedit.msc) you can disable the Fast Logon optimization by setting the following policy setting:
Computer Configuration\Administrative Templates\System\Logon\ Always wait for the network at computer startup and logon = Enabled