1st of all, have a look at the video of Windows startup and shutdown sounds. Warning: very dull.
My super simple code is below.
SLEEP(45) BEEP(392,600) BEEP(440,600) BEEP(349,600) BEEP(174,750) BEEP(261,1200)
I saved the code as sort-of-close-encounters.rex and added it to my startup folder. When I start my PC, I have a series of beeps coming out of its internal speaker which (slightly) resembles the tune from Close Encounters of the Third Kind.
The SLEEP(45) just gives my PC a bit of time to wake up, it's a bit on the old side. What larks, eh? ;)