I have the same problem. (STILL!!).
I've tried putting the shortcut in to startup, into the registry - everything. Either nothing happens at all, or I get the same error message - running Windows XP.
Mamewah - could you give us an idiots guide tutorial, on how to get this into the startup menu and working? I know its the simplest thing, but maybe we are missing something really obvious..
Cheers
T