If you are using XP follow this guide from the Microsoft Knowledge base.
1. Click Start, and then click Run.
2. In the Open box, type mmc, and then click OK.
3. On the File menu, click Add/Remove Snap-in.
4. Click Add.
5. Under Available Stand-alone Snap-ins, click Group Policy, click Add, and then click Finish.
NOTE: If you do not want to edit the Local Computer policy, click Browse to locate the group policy object that you want. Supply your user name and password if prompted, and then click Finish when you return to the Select Group Policy Object dialog box.
6. Click Close, and then in the Add/Remove Snap-in dialog box, click OK.
7. In the left pane of the Group Policy snap-in, expand Local Computer Policy, expand Computer Configuration, and then expand Administrative Templates.
8. Expand the System object, click the Logon object, and then in the right-pane, double-click Run these programs at user logon.
9. Click Enabled, and then click Show.
10. Click Add, type the name of the executable program (.exe) file or document that you want, and then click OK. You must specify the path to the file unless it is located in the %Systemroot% folder.
11. Repeat step 10 to add additional items to the Items to run at logon list.
12. Click OK twice.
The items that you added to the Items to run at logon list start automatically the next time that you log on to Windows on your computer. A list of these items is located in the following registry key: