How you do this depends on the application you want to run.
If it shows any user interface at all, it cannot run when Windows starts. There is no user desktop for the application to show itself on so no way to run it. Only services run when Windows starts.
Applications that the user can see must start when the user logs in. You can do that by either launching the app from the scheduler or by putting the command line to launch the app in the registry under the HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Run key. Whenever a user logs in, all of the commands under this key are executed, usually launching applications.
A screen saver, since it interacts with the desktop, can NOT be launched from a service. You can read up more on Windows Sessions and Desktops
here[
^].