Instsrv.exe MyService C:\Srvany.exe
Note one can control the new service from the command line using SC.EXE or NET.EXE.
[HKEY_LOCAL_MACHINE \SYSTEM \CurrentControlSet \Services \MyService \Parameters]
Application = "C:\MyApp.exe"
Note FireDaemon is similar to Srvany with more bells and whistles, but it costs money.
Note instead of running an application as a service, then one can also consider using a scheduled task to start the application when computer starts or when a user performs logon. See Task Scheduler.
More Info MS KB137890
More Info MS KB166819
More Info MS KB251192