You don't need an application to start an application. Just create a form, set as the default form, to asks for crendentials, authenticates against whatever crendential store you are using, and redirects to the main application page.
What have you tried so far? You need to show a little more initiative than this.
If you don't have a database configured you can use this http://msdn.microsoft.com/en-us/library/x28wfk74.aspx
] Although it is mainly for ASP.NET, it can be used for any application. The SqlMembershipProvider
] can handle your authentication.