You can assign loginredirect and logoutredirect as well as other parameters in beforefilter function in your controller.
// Display action to be accessed without user login is allowed.
//loginRedirect defines the action called after user logged in first-time.
$this->Auth->loginRedirect = array('controller'=>'users','action'=>'dashboard');
//loginRedirect tell the component where to redirect to user after log-out.
$this->Auth->logoutRedirect = array('controller'=>'users','action'=>'login');
Now Define login and logout methods in the UsersController file
function login ()
//Check user credentials and redirect to user based on that.
//It automatically redirect to loggedin url which we set earlier above in beforerfilter.
//Print a Messege that username or password is wrong if authenticate fails.
$this->Session->setFlash('Invalid Username or Password,try again');
So by using above flow of code you will successfully use auth component in cakephp.