Surprisingly, this functionality wasn't a standard UI element in Windows SharePoint Services 2.0 or Microsoft SharePoint Portal Server 2003. Rest assured that Microsoft has added it Windows SharePoint Services 3.0 and Microsoft Office SharePoint Server 2007, but if you're still running the earlier versions, there are a couple of methods you can use to gain this functionality. Probably the easiest approach is to find a third-party Web Part that will display this information. You can download one such free Web Part from the Microsoft SharePoint Products and Technologies Web Component Directory at http://www.microsoft.com/sharepoint/downloads/components/detail.asp?a1=841.
Another approach, which is described on the MSDN FrontPoint blog in the post "Howto: Display the Username for the Logged on user on a page,", uses the Data View Web Part and a few custom Collaborative Application Markup Language (CAML) techniques. Take a look at the article before you decide on the approach you want to take