The easiest way to change Windows XP startup programs is with the msconfig tool. Simply press Start->Run and type msconfig, and press enter.
For a more manual approach, you can check out the Startup folder on the Programs-start menu. Startup programs are also located in the registry, more specifically HKEY_LOCAL_MACHINE/Software/Microsoft/Windows/CurrentVersion/Run and HKEY_CURRENT_USER/Software/Microsoft/Windows/CurrentVersion/Run.
There are also several other ways to run programs at system startup, but these are the most common.
If you are looking for a service, these can be found in Start->Accessories->Administrative Tools->Services.