Multiple accounts...how?

I had to do a major re install of everything.
I have several accounts that I use Outlook for.
It used to be each time I would start Outlook, it would ask me which account
to use. It would save a .pst for that account uniquely.
Now it just opens and downloads all email to inbox from every account and
it setup for.

How can I set up Outlook so that it can have several account and asks which
account to use for a session?

I say in help something to do with XP user accounts but I want one XP user
to have several OUtlook accounts.

Any help on this frustrating situtation greatly appreciated.

Thank you!