Loading PKL on startup is quite simple: Make a shortcut to PKL and put it in the All Programs --> Startup folder on your Start menu. (Either drag it all the way in there, or find the Startup folder on the menu, right-click and select to 'Explore' it.)
If you're on a machine that isn't yours but you'd like to have PKL ready for you, you could either do this on your user only (the Startup folder is per-user) or what I'm doing with my wife's machine: Make the 'QWERTY Extend' the default layout (the first entry in the .ini file for PKL; then a comma and the Colemak layout). I've set Win-F9 ('#F9') as the switch key, so when I get on her comp I hit Win and F9 and it's all good. At the same time, I'm trying to get her to like the cool 'extend' layout with arrow keys on CapsLock+UNEI, Enter on 'O', Esc on '[' (similar to Telnet) etc etc.