Easiest way is to put it or a shortcut to it in %userprofile%\Start Menu\Programs\Startupdirectory or %allusersprofile%\Start Menu\Programs\Startup
The registry keys HKLM\Software\Microsoft\Windows\CurrentVersion\Run (all users) and HKCU\Software\Microsoft\Windows\CurrentVersion\Run (current user only) will also serve.
Installing it as a service is often a good approach, but not if you're going to be interactive as you say.
