The Numlock (and Scroll/Caps) are per user settings and stored when you logoff. The values are stored at:

HKCU\Control Panel\Keyboard\InitialKeyboardIndicators

The values can be:
0= All off
1= Caps Lock on
2= Num Lock on
4= Scroll Lock on

You can add these to combine them eg. 5= Caps and Scroll Lock on.

If you want to set the values before any users login (e.g. at the login prompt) then you need to set the value for the .DEFAULT user: HKU\.DEFAULT\Control Panel\Keyboard\InitialKeyboardIndicators