Sorry to say I am not in front of a Win98 machine right now, so this is mainly from memory.
But, in Contorl Panel, i believe there is a "Passwords" icon?
Double click it, and on the User Profiles tab, change the option from
"All users of this computer use the same preferences and desktop settings"
to the option below it:
"Users can customize their preferences and desktop settings. Windows switches to you personal settings when you log on."
Notice the log on bit at the end, that should sort it (hopefully).