Some installation applications stop (or appear to stop) the normal windows booting. The computer starts, the user logs in and then the installation program starts before others (like Windows explorer).
How can I replicate this behaviour in my own program?
E.g.
I have not tried it but I assume that this is done by the registry entry
HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\RunOnce\Setup
There are even more registry keys - see the complete list documented here: Definition of the RunOnce Keys in the Registry
But for your use case I would recommend to start your application as desktop shell similar to the proposed solution by "vcsjones". When your program has finished you can call explorer.exe to start loading the regular desktop.