This is possibly within Windows itself, I used to have it set up like that.
But I can't seem to find the option anywhere now 
I found it. You have to set your computer to go into standby after x minutes byt going into:
Control Panel -> Power Options -> System Standby after x Minutes
Then go into the advanced tab and select 'Prompt for password when computer resumes from standby'
That should display the welcome screen when the computer comes out of standby
/ 
