First you have to make a script (.bat file) that you want to execute before windows login.
If you want to start, for example Internet Explorer open Notepad en type: C:\Program Files\Internet Explorer\iexplore.exe
Now save the notepad file to a random name ending with the extension .bat
Go to start -> run -> and type mmc.
File -> add/remove snap-in -> doubleclick on Group Policy Object -> Finish -> Ok
Now open the just added ‘Local Computer Policy’ and go to:
Computer Configuration -> Windows Settings -> Scripts (Startup / Shutdown)
Double click on Startup, click on add and browse to the just created .bat file.
You can leave ‘parameters’ empty.
Now if you reboot Internet Explorer will start before you are even logged in!