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Under windows, the type of program you want to produce is described as a "windows service". The ways of developing such an application are a little challenging: your application needs to communicate with the SCM (Service Control Manager) both to install itself so it can be run independently of a user login, and so the SCM can control it (eg terminate it when windows shuts down).
SCM is often expressed verbally as "scum" which reflects the distaste a fair few developers have at the though of developing windows services. The API is not difficult, but it's not a thing of beauty either.
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