Dear Dude,
I don't have much idea about XP. I run A dual booting system consist RedHat Fedora Core1 and Windows 2000 Professional. As far as I know Windows XP is also a family member of NT architechture. Which is 32bit OS. If you try to open a autoexec.bat file from "C:" by clicking on it. e.g.
start C:\PhoneBook.exe \wait
It will run.
If you want to run it automatically at the OS booting, you need to add command line in .BAT file, You have to remember that the programs you ask .BAT file to run should be compatible with 32bit console mode.
If you add a line to run a 32 GUI application, it will conflict. Program should support win 32bit console mode.
Windows 2000 only allow to run batch commands at the recovery console. I think it's also same with windows XP. Try it, I hope you will pour more idea on it. Post your progress.
Happy Hacking.
-DK.
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