Okay, I'm not totally confident about winxp, because I didn't get a chance to test it out fully with the switch users without logging one out thing (since the external modem wasn't here to download WUs), but it's at least running by default with both users now, even with the non-logout user switching going on. Here's how I did it:
-Go to hkey_local_machine/software/ microsoft/windows/currentversion/run
-Put in a new...um...forgotten already. Whichever gives reg_sz as the type.
-Call it whatever you want (I used FAH)
-For the value, put in <dos path><fah executable name> using the tilde version. For example c:\progra~1\foldin~1\fah.exe
-Don't blame me if your computer starts smoking
I'm gone for the next month, so I hope this works. In any case, happy folding!