Guess Microsoft doesn't know everyone actually turns it on, which should be reason enough for what acts as "default"...
Anyway, you can hack the Windows Registry to change this behavior, or run a script at logon to turn NumLock on.
1. To enable NumLock through the Registry:
* Open Windows' Registry Editor (START > RUN, type "REGEDIT").
*. Navigate to HKEY_USERS\.Default\Control Panel\Keyboard.
*. Change the value for InitialKeyboardIndicators from 0 to 2.
2. To enable NumLock using a script, see this MS Knowledgebase article for complete instructions:
Option 1 is the quicker method, but if you have more than one user on your system and one or more don't want NumLock on (stranger things have been known of), then option 2 is the way to go since it allows you to only attach the script to specific users.