You know it "was" in msconfig. But it isn't any more. That's by design.
http://forums.malwarebytes.org/index.php?showtopic=115692 tells so.
Today i noticed that Malwarebytes was no longer on my msconfig list of programs that start at logon. . I reinstalled the program and it is on my Start Menu and it functions OK but I know it should be in msconfig.