What exactly do you mean by "my pc's setup"? If this didn't include the
bios, look around there - perhaps under boot options.

If you don't know how to get to the bios: watch your monitor as you power
your PC on. Early on it'll say something along the lines of "Press F2 to
enter setup". Other keys may include DEL, ESC, F1, F10 or a combination of
keys - it varies from system to system. Be quick once you see the message,
there isn't time to mull it over.

What is the keyboard make and model?

From the Microsoft Keyboard Users Guide

NUM LOCK is a toggle key that lets you use the numeric keypad as a way
to input numbers and functions (NUM LOCK on) or as a navigation pad to
move your pointer or insertion point (NUM LOCK off). When you turn on
the computer, system settings determine whether NUM LOCK is on or off.
For information about your system's NUM LOCK settings, see the
documentation that came with your computer or contact the computer
manufacturer.
Important
If you have a keyboard model with NUM LOCK labeled on the front of the
key rather than on the top, F LOCK must be on (F LOCK light on) to
access this key command.

How to enable the NUM LOCK key for the logon screen
http://support.microsoft.com/kb/154529/

How to Set the NUM LOCK State at Logon in Windows XP
http://support.microsoft.com/kb/314879

    It's not really a "problem," per se, as the system is operating as it
precisely was designed to act.

      By default, the NumLock key is turned off as WinXP starts, and
keeps it off until someone logs in and initializes a user profile. WinXP
will remember the NumLock's last state, meaning that if you log out with
the NumLock on, it will automatically turn on the next time you log in;
If you log out with the NumLock off, it will be off the next time you
log in.

    If one needs the NumLock on _before_ logging in, a registry edit
can be used to change WinXP's default behavior:

How to Set the NUM LOCK State at Logon in Windows XP
http://support.microsoft.com/default.aspx?scid=kb;en-us;314879