That's something you need to configure in the "Settings" manager somewhere. I am surprised that it defaulted to logging you in automatically
, but it certainly isn't the way I would leave it.
Using KDE, Go into the settings manager (usually as root, using `kdesu` from a console) and check the settings for your Login Splash and/or Login Manager. It should be relatively easy to find these settings if you poke around enough.
I'm no longer using KDE, or if I were, I'd trace the steps for you. If you cannot find the right items to fix this, let us know. Someone will help.