The best method, if available, is to use the applications own
configuration, preferences or settings page to prevent the application
from being loaded each time you boot your PC.  Failing that use MSConfig
(Start | Run, enter MSConfig in the box and click OK) and then go to the
Startup tab and uncheck the unwanted entry, Apply and OK.  When you next
reboot you will see a message about being in selective startup mode.  This
is simply telling you that you have an unchecked entry in MSConfig.  Check
the box not to be informed again and you shouldn't see this box until you
next make a change using MSConfig.

Note, please be very careful about the entries you uncheck when using
MSConfig.  For example there are supposed to be two entries for
LoadPowerProfile.

Following up Mike M's advice,  here is some more "light bedtime" reading ...

http://castlecops.com/StartupList.html