The Task Manager is run by C:\WINNT\system32\taskmgr.exe
Either create a shortcut to the exe file and drag it to the Startup folder, or create an entry in the registry in the Run section.
I read somewhere recently that of the startup items, the Run section items come before the startup folder items. Not sure myself.
So if you want to create the registry item, in regedit, go to HKEY Local Machine\ Software\ Microsoft\ Windows\ Current Version\ Run. Highlight Run, and click Edit, New, String Value. Call the new item Task Manager, or anything you like. Then right click new item, Modify, and in the value data box, type in taskmgr.exe and click OK (without giving the full path, w2k will by default look in the system32 folder, or you can always type in the full path).