Not exactly - the machine has to be unlocked before sending keystrokes and mouse events will have any effect because while the machine is locked only the Logon console will get the input and Windows is in "tunnel vision" and can't "see" any other Windows. See Also.
However, version 8.0 includes a facility called AutoLogon which can automatically log in or unlock Windows if it is logged out or locked, perform the macro, and then log out/lock again.
NB: While AutoLogon has been tested successfully under default installations of Windows XP, 2000 and 2003, successful operation cannot be guaranteed for your system due to the sheer number of possible security configurations. Try it and see.
NB: Commencing with Macro Scheduler 12 AutoLogon now only supports Vista, Windows 7 and Windows 2008 Server.