How to make application for windows authentication

The Windows application you can start up before any user is logged in is a Windows Service which is set up for auto start (you can see this option if you start the "Services" Control Panel applet). But it would not make any sense, because this could not be the UI application.

The only thing you can do to intercept the login is creation of a custom credential provider. Please see:
http://msdn.microsoft.com/en-us/magazine/cc163489.aspx[^],
http://msdn.microsoft.com/en-us/magazine/cc163803.aspx[^],
http://msdn.microsoft.com/en-us/magazine/cc163786.aspx[^],
http://en.wikipedia.org/wiki/Graphical_Identification_and_Authentication[^],
http://msdn.microsoft.com/en-us/library/aa380543.aspx[^].

But first of all, please see my comment to the question and think about it.

—SA