Also, for the sake of completeness while we're in the registry, Tony mentioned the registry keys:

HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Run
HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\RunServices
...

But failed to mention:

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Run
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\RunServices
...

Which is where programs like AIM like to hide.