I was able to get 'My Dashboard' as first screen after login. OpenERP opens the first item in the leftmost menu item as first page after login, so we have to work on that information.

• Go to Settings - Technical - User Interface - Menu Items
• Look for the first item in your actual menu and note its Sequence. In my case, the first item was Messaging with Sequence 10
• Look for the item you want as first screen after login, and change its sequence to a number lower than the item which is first now. In my case, I changed the Sequence of Reporting from 170 to 9.
• Log out and log in.
• It should work. In my case, the first page after login is 'My Dashboard'

A few remarks:

• You have to change the menu order, and this change is for all users.
• This approach does not allow a 'per user' setting, as far as I know. Again, this change is for all users.
• If required, you have to change the sequence of the menu items in the left menu pane as well if you want another item than the first to open after login.