In windows XP it's in control panel -> system

Now, I have a Danish version of windows so I'm not 100% sure of the names in the English version, but it's definitely in the tab called advanced, and then it's the third button from the top. On the lower half of that page should be a box with "Restart automatically" (or somesuch) which you can untick, so that windows does not automatically restart, but stays at the blue screen until you manually restart the computer.