Since you didn't specify what Operating System you are using this
will vary if your not using Windows2000.
1st you need to make a simple html file using notepad. (You can cut and paste the text below)
<meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1">
var newPopup=window.open("","PopupWindow","height=300, width=300,toolbar=0,status=0,menubar=0,scrollbars= 0,resizable=0");
var popContent='<HTML><HEAD><TITLE>Advertisement</TITLE></HEAD><BODY MARGINWIDTH=0 MARGINHEIGHT=0 LEFTMARGIN=0 TOPMARGIN=0 BOTTOMMARGIN=0>';
popContent+= 'This is My Computer bug off!!';
This is my computer bugger off!</p>
The text above This is my computer bugger off! is were you can customize it to your own message.
When you save this in Notepad make sure that you select the Save as Type drop down as All Files.
Next you need to make a simple .bat file in Notepad.
cd \Program Files\Internet Explorer
Now you need to Schedule a task to run at logon.
Go to Control Panel, Scheduled Tasks, Add New Task,
Browse to the location you saved the .bat file above
Next, Select When I logon, type the username and password
for the account you want the popup to open on. Finish and your done
Link for free popup script