There's two ways it can be done. You either need to add an entry to the registry, or add an entry in the startup folder.
This link tells you a bit about the registry. To add an entry to the startup folder, just make a shortcut to your program and add it to "X:\Documents and Settings\*User*\Start Menu\Programs\Startup" - where *User* is the name of the user and X:\ is the system root - this is only true for windows xp. From memory, in earlier versions it would be "X:\windows\Start Menu\Programs\StartUp"
You'll have to look through the VB help files to learn how to edit the registry, but here is the article for VB .Net on msdn -
Link
Hope that helped.
