What is it?
Windows Logon Process - Winlogon.exe

What does it do?
Direct Quote from here:
This is the process responsible for managing user logon and logoff. Moreover, Winlogon is active only when the user presses CTRL+ALT+DEL, at which point it shows the security dialog box.

Search MS for more info: Link

Virus Precaution:
The original Winlogon.exe from Microsoft gets placed in the C:WINDOWSSystem32 directory. if you find it anywhere else then you should be suspicious for sure.

You'll want to keep an eye on this google search for any known viruses. We've been able to find only 1 report of a virus so far.

Troj/Madr-B @ Sophos
Netsky.D @ Trend Micro