You do this using the pywin32 (Python for Windows Extensions) module.
Example Code for Python 2
Similar Question
To make it run at startup you could mess around with services but it's actually much easier to install a link to the exe in the users "Startup Folder".
Windows 7 and Vista
c:Users[username]AppDataRoamingMicrosoftWindowsStart MenuProgramsStartup
Windows XP
c:Documents and Settings[username]Start MenuProgramsStartup
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