1. Edit registry key: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon
2. Change Shell to whatever exe you want.
Lots of people do this to run IE as the desktop shell and lock the entire machine down by simply setting the shell as "iexplore.exe -k www.mysite.com" and setting up some group policy items. One Kiosk set up.
You can even change the entire GUI stuff: http://litestep.info/