Windows auto-runs things from your Startup folder (see Start/All Programs/Startup) when you login to Windows. It also runs things via the registry.
- HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Run*
- HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Run*
- HKLM\SOFTWARE\Wow6432Node\Microsoft\Windows\CurrentVersion\Run* (Note: This one is relevant for running 32-bit programs on 64-bit Windows.)
There are others, but these are the common ones.