Recently I've been installing the BGINFO utility from sysinternals on all my servers and VMs, I have so many that sometimes I don't know where I am <smiles>
I'm fond of just dropping a shortcut into the 'startup' folder on the machine, but on Windows Server 2008 it's a pain to find, I have to spend 5 minutes searching for it, so...
C:\ProgramData\Microsoft\Windows\Start Menu\Programs\Startup
That's where it it.