There are several placed to register this thing -- Startup Folder is the easiest but the worst (least universal).
First, consider to create and install Windows Service. This can be a big overkill, I know.
For regular applications, I can offer an
ultimate advice: go to
Sysinternals Suite:
http://technet.microsoft.com/en-us/sysinternals/bb842062[
^].
Download all -- many
very good utilities, but you will need to run
Autoruns. Look how it works and read the help: it will give you the ultimate description of all locations (practically, all in registry) where to register your application to start automatically.
It works!
That's it.