Put a shortcut to it into your Startup folder.
Example (pre-Vista):
C:\Documents and Settings\
username\Start Menu\Programs\Startup
Vista or Windows 7 will be the same idea, but under \Users\ instead of \Documents and Settings\ . I don't have either in front of me at work, so can't tell you for certain if the folder structure is the same, but just look for a folder called Startup. Might be in your Documents folder as well.
EDIT: Or use Dan's method for an easier drag/drop way of doing it.
Growing up in DOS and then Win3x, I tend to set things up in folders instead of drag/drop, but either works fine.
