You are in X-windows. You can exit X-windows by pressing the key sequence control-alt-delete. (The delete key is the one above the return key.) This will kill the X-server and the prompt should appear.
If you are defaulting to a command line login, the "xinit /usr/dt/bin/dtlogin" command will take you to CDE. However, if you enter the login from CDE and pick the command line login option, you must type exit at the command line to return to CDE.