There are even two ways to do it. You can choose:
1. Convert the mp3 to wav. There's a lot of software around that can do it. Personally I would use a freeware program called cdex, I think, but it's quite possible Windows Media Player can do it also. Then use Config Panel>Sounds to couple this sound the appropiate Windows event (like Windows start or Windows logon).
2. Make a shortcut to the mp3 file and put that in your Startup group. When you logon the program you use to play mp3 with will open and start playing.

Hope this helps.