There are two stpes, first to set auto-login without user name/password then disable Ctrl+Alt+Del which is enabled for Windows server by default. It works great for vm in Azure.
To set auto-login account
- Start > Run > netplwiz (as explained in other answers)
- Un-tick “Users must enter a user name and password to use this computer.”
- Provide login credentials to be used for auto-logon
Disabling CTRL+ALT+DEL logon requirement
- Type ‘Local Security Policy’ (no quotes) and click on item matching this name
- Open ‘Local Policies’
- Open ‘Security Options’ Locate Policy called ‘Interactive logon: Do not require CTRL+ALT+DEL’
Double click on it Set to ‘Enabled’
After applying this change and rebooting the server it managed to successfully auto-login to the account I had provided.