Mendix will present it's default login form whenever an anonymous user attempts to access a page or microflow that requires a security role. If your main page includes non-anonymous security roles, the application will show a login form as a first screen.
Alternately, you can make your application home-page accessible to anonymous users and allow them to sign in specifically. I've seen this done by using a microflow button ('sign in') set to 'visible always', with a microflow that requires non-anonymous security roles. In effect, an anonymous user will access a microflow that requires sign-in, and Mendix will automatically show the default login form.
I've always felt this method is a little dirty, so I prefer to use the Login widget from the appstore.
Also, make sure you actually enable security on your project. You can do that in the project explorer: Project -> Security -> Security Level. It is disabled by default on a brand new application.
Also see the Mendix reference guide on security: here