Depends on what you are trying to achieve. To run things at start-up, you may place a short-cut in the "C:\Documents and Settings\All Users\Start Menu\Programs\Startup" folder. Being more adventurous, you may start a program from the Registry; in "HKCU\Software\Microsoft\Windows\CurrentVersion\Run" or other places similar in the registry to run things.
Something tells me this is not what you are wanting to achieve. There is an order that the OS runs the different Start-up applications; but generally they may start in a particular order - but they may be ready for interaction in a different order.
An interesting Registry key is "HKLM\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon\Shell" This key points to 'Explorer.exe' which is the ordinary Windows Explorer you use to browse your folders. But when 'shelled' it provides the Start menu, task bar, desktop and suchlike. You may shell your own program and it will run as the only window there. If you close it, nothing remains but the mouse cursor. So its great for kiosk style programs on the desktop. Combine it with a system policy to disable the Task Manager and you've got an instant kiosk system.
Compile the attached demo YOU MUST STORE THE EXECUTABLE IN THE WINDOWS FOLDER and run it from there. Shutdown and restart and it will be the shelled program. Switch back to explorer and use Ctrl+Alt+Del to restart from Task Manager.