Windows XP - Start Process at Login Screen

I need a process to start at a Windows XP Professional login screen once the user presses Control-Alt-Delete at the login screen.

Is there a registry key that I can edit to cause this to occur? Is it even possible?

No, the user's personal programs and configuration is not even loaded yet at the startup screen, so there is no way for AutoHotkey or a similar program to listen for keyboard events yet.

You can have logon scripts run before users are logged in, but these cannot be triggered by hotkeys at the logon screen. You can configure them under:

Start -> Run -> gpedit.msc -> Computer Configuration -> Windows Settings -> Scripts

Actually, I think this is possible, as I've done so before to get a poorly written wireless driver to start up when the system starts up (rather than after logon) so I could log on over the network wirelessly.

What you need to do is run the VPN client as a service. Services start when the system starts (if you set them to), and run under the user you set them to (which can be the local system account, the network service account, or an account you create). A lot of applications are not written as services, but Microsoft has instructions on how to create a user-defined service. The KB only applies to WinNT and Win2K, but presumably works on XP as well. I believe in the past I used an application which acts as a proxy service, so if the link there doesn't work, you may want to look into that. I cannot remember the name, otherwise I would give you a link to that as well.

I'm fairly certain this will work for your needs, it just might take a little bit of configuration and trial-and-error. Good luck!