There are a number of possible ways to do this depending upon what you mean
by "powered on".
If you want to start the application immediatly after a soft reset etc then
you could look into placing a shortcut for your application into the
\Windows\StartUp folder. Or alternatively place a setting within the
registry (HKLM\Init).
If you want to start the application immediatly after a device is resumed
from being suspended (i.e. the user presses the Pocket PC's power button to
turn the device "off' and then the button is pressed again to turn it back
"on") you would need to register for device power notifications.