One option would be using the ‘Interactive logon’ feature, but this will display the message when they press CTRL+ALT+DEL to log on.
Here’s a link to a guide on how to do it:
<a href=”http://support.microsoft.com/kb/310430″>How to configure Windows Server 2003 to display a message when users log on</a>
If you really want the message to show after they have successfully loged on, you could use a logon script with a simple message box. You could also write a script to open a file (txt or some other type) containing the message.