John,
Yes, there are a few of ways to accomplish this:
If you use one of the built-in shells (Explorer shell for XP-like
interface, command shell for a DOS-like interface), you can set a
registry setting (which may be different depending on the shell you
choose) to fire up your app. Note that in this case, the shell is
still active while your app is running, which has ramifications such as
Alt-TAB working, etc.
You can also install your EXE as "the" shell. The XPe documentation
describes how to do this (by creating an XPe component based on the
Shell Prototype). In this case, your EXE has complete control over the
system.
-- Don
