some quotes about it I have found...
As said by others, this process is responsible for managing user logon and logoff, both in Windows 2000 and Windows XP. It is perfectly normal and safe, AS LONG ASIT'S IN THE SYSTEM32 FOLDER! If it's running from anywhere else, it's a FAKE - some malware often names itself as a trusted program, only in another directory.
I have seen one instance where winlogin.exe (as opposed to winlogon.exe) keeps getting re-entered in the HKLM\...\run\ regkey. As far as I can tell, winlogon.exe is good, winlogin.exe is bad.
This is a standard for NT machines , can be found in NT/2000/XP but not in windows 98/95/ME, however from what i have experieneced is that there is a Virus CLONE of this and obviously needs to be gone, if you are using 95/98/me and there is a winlogon.exe (or similar) then kill it, you dont need it, NT/2000/XP users will have to look closely at the filename if its Winlogon.exe then its ok if its WinIogon.exe (with Capital i) kill it, or if its Winlogin.exe (notice the change from logon to login) then kill it. but do use extreme caution as you could lock yourself out,if you delete the wrong one
This thing may or may not be the real deal, since on my machine, it shows up as file location \??\C:\WINDOWS\system32\winlogon.exe. When I "Remove" the app, the whole computer just shuts off, and I get a BSD (Blue Screen of Death). This is very odd on a Windows XP machine. In fact this may be the first BSD I have ever seen on XP!
This last post here seems a very very likley result of removing a critical system file.

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Nortons web site seems to indicate some nasty imposters...with one possible variant of W32.Netsky@mm worm...
http://securityresponse.symantec.com...oval.tool.html
but from what you say ya sound like ur ok...dog gone computer hackers...I hate em too.Stay Viligant!...but I don't know why it would want to connect to the net dat is suspicious.