Whenever a new user logs on (the first time), Windows copies the settings from the Default User profile (located at Documents and Settings\Default User) to the newly created user profile. In other words, the Default User profile is as a template which Windows uses in order to initialize new profiles/logins.

After logging in the first time, the user customizes the settings as required. In my case, some of the settings include the following:

Turning off the Windows Tour
Disabling the balloon tips
Adding/Removing icons to Quick Launch bar
Settings for Wallpaper, Display and Appearance and Themes
Internet Options – Settings in the Advanced & Security tabs, SearchURL preferences, TIF to 40MB
ZoneMap Domains list of Restricted, Trusted sites
Creating shortcuts on the Desktop for various applications
Search companion settings (I prefer the classic search)
Adding or removing the icons in the Desktop
Prevent Windows Messenger from starting automatically (PreventAutoRun)
and so on………………
Customizing the Default User profile
If you want all the settings to be applied to every new user automatically, you must modify the above settings in the Template, which is the Default User profile. The simplest method is to create a user profile and customize it as required. Then, clear all the MRU settings (RUN, Search etc) and copy it to the Default User profile.

NOTE: Before overwriting the default user profile template, it is a advisable to make a backup copy of the default user profile.