I've done this before so many times and I've always forget. It's high time I jot it down. Most of the times during startup applications, I want those applications to start up minimized, and usually these applications will minimize into the tray. So how do I do it? Very simply -
1) Right click on the shortcut
2) Click on Properties
3) Under Shortcut tab, change Run option to "Minimized"
As simple as that. I use it to load my Outlook during startup into the tray, and my Task Manager too! Well, mostly those 2 only. :)
Try it out. Task Manager is a MUST-HAVE during start up.