How would i go about Executing a program when Windows XP starts but without loading Explorer.exe?

I've tried placing a windows shortcut in the "Startup" folder, also a .bat. I've tried using the Registry folder that "msconfig" puts startup items in. I've tried adding it to AUTOEXEC.BAT in the root of the C: drive.

All of these seem to work fine when Explorer auto loads but when i disable Explorer, none of the methods work.

Hi,
I have no idea how you can do what you ask, but, why do you not want to run explorer?

Well I'm doing a project. I am attempting to make a "video game console" based on a computer. It will have the following features:
Video card with S-video and composite for outputting to a TV.
custom case
unneeded components will be removed to make it lighter and more compact
custom software that loads on boot (this is where my problem is).
custom logos during boot.
the ability to use only USB gamepads to use the custom software.

I'm not sure if i tried replacing the registry key that defines what shell to load. It's default value is "Explorer.exe" but you can change it to any program. I do not have access to the computer at this moment to see if that works.