Sorted it.

My problem was down to how I was creating my new users in my custom user import module. Once I used UserController.CreateUser it started to work fine.

                DotNetNuke.Entities.Users.UserInfo oNewUserInfo = new UserInfo();
                oNewUserInfo.Username = @"domainhere\" + sUsername;
                oNewUserInfo.DisplayName = sFirstName + ' ' + sSurname;
                oNewUserInfo.FirstName = sFirstName;
                oNewUserInfo.LastName = sSurname;
                oNewUserInfo.Email = sEmail;
                oNewUserInfo.PortalID = this.PortalId;
                oNewUserInfo.Membership.Approved = true;
                oNewUserInfo.Membership.Password = "password";
                UserCreateStatus Userstatus = UserCreateStatus.AddUser;
                Userstatus = UserController.CreateUser(ref oNewUserInfo);

 I've just put in a default password when I create the user, i've tested it and it seems to autologin even though this password doesn't match the users windows password, and the user can log on manually using their correct user name and password, it seems that the password in DNN must be over written by the provider although I don't know if this is true, so don't quote me on it. Seems to be working now anyway.