http://unattended.msfn.org/unattended.xp/view/web/1/ is your friend when it comes to customizing windows installations.
the reg files you've seen posted about on this site can be added by simply double clicking them.
Lastsession.ini files are used with NLite.
If you don't know what you're doing, I would suggest NOT attempting any of these tweaks on a system you rely on. Try it on a virtual machine or a spare system you don't mind re-loading the OS on in case something goes wrong.