How to perform some action every time computer with Windows starts?
You can use the Windows Task Scheduler. It's been a while since I used it on XP, but in Vista and Windows 7 you can schedule a task to occur on startup. This can be a batch file, or executable.
You are referring to running an application as a service. If the application supports it you can look at using Service Any. This will start the application when the machine boots without needing to login.
However be aware that most applications don't work with it, unless they are service type daemons already.