add the program or shortcut to the program in C:\Documents and Settings\All Users\Start Menu\Programs\Startup
This will do this for all users on this computer...if you want just for you and no one else switch ALL Users to your profile name and copy the shortcut or program start file to this location such as C:\Documents and Settings\Dave\Start Menu\Programs\Startup\mspaint.exe to open microsoft paint at start up every time it starts.
