You could create a shortcut to your MusicBee.exe file with an appropriate command line parameter depending on what you want it to do:/Play <file name> (can be a playlist)
/PlayResume (to restart from where MusicBee last closed)
/StartAutoDj
/PlayLibraryShuffled
Put the shortcut in this folder so it runs when Windows starts:c:\Users\<login name>\AppData\Roaming\Microsoft\Windows\Start Menu\Programs\Startup
A full list of command line parameters is here:
http://getmusicbee.com/forum/index.php?topic=6885.0