It depends on what you mean by "Windows Startup". Running it in the background without a user logging in, you'd have to create a Windows Service wrapper.
In case "Windows Startup" means "run when the user logs in", create a batch file that starts your application and put a link to that batch file into the user's Autostart folder (or the "All Users" Autostart folder).
EDIT
To clarify what I mean according to your comments.
You said you were a .NET programmer, so we can just talk like you'd develop a .NET application:
If your program should behave like a Windows Service, you'd need some kind of service wrapper that acts as the "real" Windows service and starts your program when it is started using the Service Manager (you can not develop a Windows Service in Java so far, so you need this wrapper).
If your program should behave like a normal application and just be started whenever a user logs on (example: Skype or WinAmp Agent), you'll just have to start your program putting a link to it into the user's AutoStart folder.
In case of 1), you'd have to follow the answers of the other posters - I've never done that myself before, but I'm sure it can be done. (Maybe this link will help you: http://edn.embarcadero.com/article/32068)
In case of 1), just create a batch file that runs your application and create a link to that batch file in the user's/All Users' AutoRun folder.
