Start Windows Application whenever Windows is Started

"You have to run it as a Windows Service. The easiest way to do this is to install it via SrvAny (it's in the resource kit). Microsoft KB Article KB137890 explains how to do it.

Another option, though not free, is to use a third-party tool like FireDaemon to handle creating and monitoring the service."

Only if it's installed as a service. Otherwise it has to start in an interactive session.