I can do this, (but I never have done so I can't be entirely sure).
Open your Personalization window from the Control Panel, (or right click the Desktop and select Properties), and click the Screen Saver bottom right. In the new window, click "Change power settings". In the new window, depending if you have selected "Balanced" or "Power saver", click the Change plan settings".
In the new window, make sure your settings are as you wish, then click the "Change advanced power settings". Under Balanced then "Require a password on wakeup", click Yes.
That should return you to the Logon screen whenever you wake the system up.
But that's far too complicated for me. I just set the screen saver to return me to the Logon screen whenever I press a key.
When i walk away from my Windows 7 PC, i'd like to lock the screen for good security and put it to sleep for good energy savings. Doesn't that make sense, at least in some situations? But if you lock it, you can't sleep it, and if you put it to sleep, then you can't lock it.
Probably most people lock it and allow it to go to sleep later after a timeout period. But we could all be greener if there were a way to do both sleep and lock at the same time.