Choose Apple menu > System Preferences, then click Users & Groups. If you want to change another user’s picture, click the lock icon to unlock it, then enter an administrator name and password. You can change your own picture without unlocking Users & Groups preferences.
I have a running Mac OS X Lion which has a single local user (the local administrator account that I setup) and then the domain user setup on the laptop. I've gone into 'Login Options' under System Preferences Users & Groups and set the option 'Display login window as: Name and password'. When the laptop first boots, it has automatically selected the local admin account, and I don't see where I have the option to change users. However, when if I log into that local administrator account and then log out (without rebooting) it will allow me to enter the user and password.
It sounds like you have automatic login turned on. You should be able to turn it off via the following steps:. Click the Apple menu in the top left hand corner of the screen and click System Preferences. Click on the 'Security and Privacy' panel in the 'Personal' section. Click the lock icon in the bottom left hand corner of the window to unlock the control panel so that you can change options. Enter your password in the popup window to authorize the unlock.
Check the 'Disable Automatic Logon' option. Close the window to save changes.