The above is true for FARR, and the easiest way.
In the general case, you can let any program start when Windows starts by putting it into one of the following directories (for Windows XP):
%userprofile%\Start Menu\Programs\Startup
%allusersprofile%\Start Menu\Programs\Startup
Use the former to start the program only when you log in, and use the latter to always start the program; regardless of who is logging in.
You can copy one of the lines and paste it the Run dialog (Start > Run) to get to the location (so leave the %...profile% in there).