Found this Login Widget OK:

Tabbed Login Widget.

Installed it and using it now.
How to use it:
In Appearance –> Widget:
Drag this new login widget into the Primary Area of the SideBar.

But you need to EDIT the Login:

	<ul class="tabs_login">
		
		<?php  if(get_option('users_can_register')) { ?>  
		<li><a href="http://www.wautom.com/wp-register.php"><?php _e('Register', 'tabbed-login') ?></a></li>
		<?php }; ?>
		<li><a href="http://www.wautom.com/wp-login.php?action=lostpassword"><?php _e('Lost Password', 'tabbed-login'); ?></a></li>
	</ul>

And did some other small decoration changes.