Difficulty Level
Intermediate~Advanced
Danger Level
HIGH. You can seriously damage your computer by playing with the registry. Remember to BACKUP your registry before you make any changes unless you are VERY confident.
What you can do
Some programs start when Windows starts and don't give you an option to change this. e.g. Spyware, viruses, etc. This will help to stop them from starting. In some cases, like with viruses, there may be more than 1 way that they are starting, so this may not completely stop them, but is a good start.
This is for Windows NT based computers like 2000 and XP. This will not work on 98 or Me.
How to do it
Open an command Window. You can click Start > Run, then at the command prompt, type 'cmd' and press enter. The registry editor starts.
Drill down in the registry to the [HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Run] key. There is a list of programs that start when Windows starts.
Select the key for the program you want to stop and delete it.
Drill down again to the [HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Run] key and if the program is there, delete the entry there as well.

In the screenshot you can see RealVNC runs at startup. (The funny 'W's are actually '\' characters in a different encoding.)
There are a couple other keys you should also check - the RunOnce key and any other 'run' keys you see there in the same place.
Reboot your computer and you'll see the program does not run when Windows starts. If it does, check for a [Run] or [Load] entry in the win.ini file in your Windows or WINNT directory.
Why do it
This is a standard thing to do when removing viruses from computers and is a good thing to know. If you suspect a virus, you can check here for suspicious programs. This doesn't guarantee that your computer is virus free, but it is a common place for virus writers to place a new entry.