Open windows explorer - documents and settings - your userprofile - start
menu - startup and put it there. If you want it to start for all users put it
in the same frolder for all users instead of your own
David Biddulph has shown the path to where you need to put the shortcut if
you use Windows Explorer.
A way to get to your own startup program is
Start | Programs
and in the list of programs you'll see Startup. Right Click on it and
choose Open or Explore. You can then drag or create shortcuts in it.