With XP you make a batch file, and change the windows shell from "explorer.exe" to the batch file. ie. "C:\launchgame.bat"
1) Open regedit (start menu > run, and type in regedit)
2) Go to: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon
3) Change "explorer.exe" to "C:\launchgame.bat"
In the "launchgame.bat" batch file put something like.
@echo off
"c:\progra~1\yourgamedir\yourprogram.exe"
"c:\progra~1\yourgamedir\yourprogram.exe"
"c:\progra~1\yourgamedir\yourprogram.exe"
"c:\progra~1\yourgamedir\yourprogram.exe"
c:\windows\explorer.exe or shutdown /s /t 0
That way when your computer boots, it runs your batch file instead of the normal shell, and if you accidentally exit out of the game, it will launch it again 3 more times. The last part will either launch the normal shell "explorer.exe" or shutdown after you exit the game 4 times. (I would use explorer.exe, as it will let you use your computer normally after the game has exited so you can fix things, using shutdown will shut it down, but you will have to use a "Live" version of Windows with Regedit.exe and load the hive registry of the windows install just undo it or fix things.
Use some of the key words or registry paths listed above in Google to get a better understanding of what it all means.
ALWAYS HAVE A BACKUP, AND BE PREPARED TO LOSE EVERYTHING ON THE COMPUTER WHEN MESSING WITH THE SHELL!!!