Set a message before CTRL+ALT+DEL logon
(this can also be set via regedit)

Start > Programs > Administrative Tools > Local Security Settings\Policy
Expand Local Policies > Security Options...

Message title for users attempting to log on:
NOTICE

Message text for users attempting to log on:
This is a private system. Do not attempt to login unless you are an authorized user. Any authorized or unauthorized access and use may be monitored and can result in criminal or civil prosecution under applicable law.