If an application is designed to start when Windows starts (as opposed to when a user logs in), your only option is to involve a Windows Service. Either write the application as a service, or write a simple service that exists only to launch the application.
Writing services can be tricky, and can impose restrictions that may be unacceptable for your particular case. One common design pattern is a front-end/back-end pair, with a service that does the work and an application front-end that communicates with the service to display information to the user.
On the other hand, if you just want your application to start on user login, you can use methods 1 or 2 that Joel Coehoorn listed.