When you choose the selective StartUp and reboot, there should have an option with check box to not showing next time.
Select that option and reboot. Don't worry, XP shows that when you change StartUp option.
I am running XP - Service Pack 3
StartUp Menu was slow loading so I went to MSCONFG (SYSTEM CONFIGURATION UTILITY). I noticed that the General Tab was set to Selective StartUp. I switched it to Normal StartUp and rebooted. This started causing issues/messages (ie. computer at risk, programs not loaded etc.). So I tried changing MSCONFIG back to Selective Startup. I tried this as Admin and in Safe Mode. My problem is that no matter what I try, I cannot get MSCONFIG to return to Selective StartUp. Does anyone have any suggestions.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic