If you installed from the Wanadoo/Speedtouch CD you should have had a desktop icon appear that looks a bit like an upsidedown "T" - if you have it just drag it from the desktop over the "start" button, onto "All Programs" and into the "Startup" option on the menu. Next time you start so will the connection.
If you didn't get the icon or if you deleted it, you can create a new short cut -
right click on desktop, new, short cut.
This will give you blank short cut that iniates a wizard. Paste the following loaction where ? is the drive to which the Speedtouch software is installed - probably C - then drag and drop the icon as above.
"?:\Program Files\Thomson\SpeedTouch USB\stdialup.exe" /Dial /Entry "Speedtouch Connection"