Start an .exe while start up my machine?

To my knowledge, you can't do it when Windows starts unless it's a service. And services are started in a different way ;)

What you can do is start an exe file when a user logs in (automatic login counts as well). You just have to place a shortcut to your exe in a dedicated folder. See e.g. http://windows.microsoft.com/en-za/windows/run-program-automatically-windows-starts#1TC=windows-7

I hope this helps.