As anonymph says, you can put a link to the pproxy in the startup folder, with th -hide parameter.
But pproxy wont run as a service, just a hidden application. That is, it wont start if no one logs in.
You can also go to a cmd prompt in the pproxy folder and type proxyper -install
That will install the service, and run it even with no user logged in.
Either restart the computer or start proxyper -svcstart to start the service for the first time.
Note : I havent tested these, check the Readme.txt that comes with the pproxy.