You cannot do it with the tray application as such applications can be loaded when a tray is available; and this happens after a user logs in. However, you can do it automatically. And, frankly, running a system tray application makes no sense when nobody is logged in. Why using it when there is no tray?
There are several ways of running applications automatically on different phases of system load and user's log in. The simplest and least robust way is "Startup" sub-menu under the system's main menu. This menu is on per-user basis but items can also be added to the "All Users" data.
Other methods are prescribed in the system Registry.
You can consider keys like:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon\Userinit
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon\Shell
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Run
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Run
For more information, I recommend my "secret weapon": Sysinternals AutoRuns utility. Download
Sysinternals Suite:
http://technet.microsoft.com/en-us/sysinternals/bb842062[
^] (must-have anyway!), unpack AutoRuns and run it. Browse all folders and read help. This is the ultimate source of all places where applications and other components could be run automatically.
—SA