@deutrino in the Windows 9x case though, it was because there WAS no local authentication - there was an option for a primitive kind that'd swap profiles, but otherwise, authentication was only for network resources. There's no local security.
There's a similar GIF for NT, but in that case it's outright privilege escalation because 1. NT is multiuser/secure 2. You spawn EXPLORER.EXE as *NT AUTHORITY\SYSTEM* - above Administrator. (The joys of shelling out in random stuff, at login...)