Well idk about saving the song, but to auto play on start up have like a checkbox somewhere. Then double click it, should bring up Check_Changed event. Then create a new setting , caleld whatever you want and set it to Boolean, False.
In the check_changed event, put in this code:
[php]If CheckBox1.Checked = True Then
My.Settings.(Yoursettingnamehere) = True
Else
My.Settings.(Yoursettingnamehere) = False
End If[/php]
On your Form_Load have this code:
[php]If My.Settings.(settingnamehere) = True Then
'Put your music play code here
End If[/php]
That shuld work xD