Open REGEDT32.EXE (you'll find it in \SYSTEM32), then choose HKEY_LOCAL_MACHINE and scroll down to SOFTWARE\ Microsoft\ Windows NT\ CurrentVersion\ Winlogon. Locate LegalNoticeCaption and LegalNoticeText. Double-click on LegalNoticeCaption and add the text you want to appear as the title of your warning dialog box. Click OK when you're done. Double-click on LegalNoticeText, add the text of your warning, and click OK. After you make both changes, exit RegEdit. The next time you log on, you'll see your new warning message.

WARNING!! This is a REGISTRY HACK! And as such, you MUST FIRST make a backup of your Registry so that you can recover from any mistakes you might make. The Registry is a very unforgiving place if you don't know EXACTLY what you are doing. An incorrect Registry entry can render your entire system INOPERABLE. DO NOT attempt to change Registry settings without a Backup. Don't say we didn't warn you...