Ok. I think I know the answer for that one!
Do a search on windows for autoexec which should find it.
When you have found it copy it into your C:\Windows\System32 folder.
This file is included with Windows XP but for some reason it is not always installed.
If you have a big drive you can limit the search to the Windows folder as it will be in there somewhere if you have it. I found it in C:\Windows\Repair when I had that problem.
Hope this helps.