Or you can just put a shortcut to the exe program (example: mala.exe) in the start up folder.
Win 7: Start; all programs; startup
Right click the startup folder to open it, then paste a shortcut to your front end in the folder.
Any shortcuts in that folder will be ran after windows loads.
Mala also has an option to start it when windows starts, Im sure other front ends have that option too. (But I have had problems of the program not doing right, such as random errors, so I just put a shortcut in the startup folder.)
To make a shortcut, right click on the exe (mala.exe), then create shortcut.
Right click on the newly created shortcut, copy.
Open the startup folder (see above), then right click. paste. A shortcut to your program should be there.
Reboot your computer to see if it works.
WinXP us pretty much the same way, not sure about win 8.
Just re-read your post (I always ignore the instructions LOL).
You probably need some sort of a menu program if you want to be able to start different programs, but that menu program can be auto started by placing a short cut to it in the startup folder.
Not sure what kind of menu program you want but it shouldn't be too hard to build one, if you cant find one on the web.
With most front ends (Im most familiar with mala), you can have more than just arcade games in the menus. (Such as programs that you run from Mala)