There is no API that I'm aware of to make automated changes to the local Group Policy Object on Windows XP (called "Local Group Policy" in newer versions of Windows).
I've had some success manually copying the contents of the %SystemRoot%\System32\GroupPolicy folder between machines. As long as you don't have machine-specific entries there (referencing the machine SID) this should be possible. That won't be in any way "supported" by Microsoft, though, and if it breaks you get to keep the pieces.
Here's an example of a script that modifies local group policy that you might want to look at, too. It's not using any "supported" APIs-- it's just banging on the GPT.INI file. This may work but is definitely "unsupported", too.
Based on your comment to @Zoredache I think you're better off manually doing this to a few computers rather than trying to script it to a bunch of computers. You're going to end up making the person or department who handles Domain Group Policy very unhappy if they have to undo a bunch of local changes on client computers (which are just as difficult to undo as they are to make in the first place).
Logon scripts run concurrently.
The documentation you linked to suggests that scripts are run consecutively "processed in [...] order":
If you assign multiple scripts, the scripts are processed in the order that you specify. To move a script up in the list, click it, and then click Up. To move a script down in the list, click it, and then click Down.
The documentation is not clear on what "processed in [...] order" means, so I put together a little test. I wrote two scripts that log an event, sleep for five seconds, log another event and quit:
Set sh = WScript.CreateObject("WScript.Shell")
sh.LogEvent INFORMATION, "Hello from Script A"
WScript.Sleep 5000
sh.LogEvent INFORMATION, "Goodbye from Script A"
The other script is identical except the log messages say "Script B" instead.
I put both of these scripts on a GPO as logon scripts and applied the GPO. After policy refreshed and I logged on to the test computer, I checked the Event Viewer.
The result was that "Hello from Script A" and "Hello from Script B" were logged at the same time. Five seconds later, "Goodbye from Script A" and "Goodbye from Script B" were logged at the same time.
To be precise, the log entries were added in the same second, and the time resolution for these entries does not get into fractions of a second, so I am not sure which script wrote to the log first. Event viewer actually shows the logs from Script B before the logs from Script A, even though the timestamps are identical.
The verdict from this simple test:
Logon scripts run concurrently.
Best Answer
Using a User Logon Script policy will always run the script as the user. There's no getting around that. As an alternative, you could consider using a Computer Startup Script. These are excecuted as the Local System account, which will have privs roughly equivilent to a local administrator account.