Open explorer and go to C:\Documents and Settings\username\Start Menu\Programs\Startup
Right click then down to new and select shortcut
browse to where the program exe is installed and select.
Only use regedit if you are confident to do so!!!
Aternatively using regedit go to HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Run
& right click new string value name it & then right click again to modify in the value data box put in the full path name ie "C:\Program Files\MSN Messenger\msnmsgr.exe"