I found this using Google (Providing automatic program start via the Registry); it also includes adding UI. Don't forget you should also provide an option outside the setup to enable/disable autostart.
Take a look in the registry at HKLM\SOFTWARE\Microsoft\Windows\CurrentVersion\Run. If you want it to start per-user then look in HKCU\SOFTWARE\Microsoft\Windows\CurrentVersion\Run. If you want it to start when Windows starts, without requiring a user to log on, that's a Service.
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