Running things at startup happens at more than one level.
Firstly, anything for which a shortcut (or the application itself) is placed in \Documents and Settings\<username>\Start Menu\Programs\Startup will be run as pretty well the last thing in system initialisation. Some startup tasks may also be defined in \Documents and Settings\All Users\Start Menu\Programs\Startup.
Moving backwards, as it were, there is a second category of definition in the system registry, keyed as HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\ Run
A third set of definitions can be found under the registry key HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion \Run
As far as I am aware, this covers the gamut of how the user can define startup tasks. I would recommend that if you want to define a startup task yourself, you use the first technique I have listed: the other two are best left to application installs to make use of.