I haven't used 98 in a while, but I'll try not to mislead you. What you need to do is create a link to Game Launcher in your startup folder. Right click on your taskbar you and select properties. Select the advanced tab. Select add and let the wizard walk you through the creation of the shortcut. Be sure you create it in the "startup" folder.
Hope this helps...and...anyone feel free to correct any errors that I may have made (I'm using 2000 & XP).

Note: Explorer is still your shell, so, on exit you will be dropped to the desktop...just like you wanted--easy, huh?
