This will occur because one user sign on is set as Administrator(by default). This will be the sign on that allows you to switch users while on line. The other will not have administrator rights which is why you get disconnected when you try to change to the administrator identity whilst on-line.
A word of caution, using separate sign-ons in XP puts quite a strain on resources, memory especially, as each profile is loaded on start up. If you dont play games or use your PC for memory intensive activities this wont be a problem.
The windows help will explain in quite plain terms how to set-up sign-ons and access rights.
hope this helps.