I have found that it is different with each program. Normally, you can right click the icon on the systray, locate settings or properties or similar and try to find how to stop it automatically starting there.
With realplayer, you need to find the startcentre properties
Also, you can check the startup folder for your profile if using windows 2000 or XP, it is under documents and settings\your username\start menu\programs\startup and also documents and settings\all users\startmenu\programs\startup
Or you can directly remove the links from the start menu from all operating systems from 98 upwards (possibly 95) by right clicking the shortcut, and selecting delete
you can also check the registry for programs scheduled to startup when windows boots, this is risky, and should only be attempted if you know what you're doing and/or have a backup
locate the following entries, and look for programs you can remove;
hkey_local_machine \ software \ microsoft \ windows \ currentversion \ run
hkey_current_user \ software \ microsoft \ windows \ currentversion \ run