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I'm even embarrassed by my noobish question :o It turns out that everything is incredibly simple. I'll explain the procedure if anyone is interested.
1. Start -> Connect -> select the desired connection, right-click -> **Status**.
2. In the "General" tab, select "Properties".
3. Open the "Options" tab.
4. At the very top, in the "Dialing Options" group, uncheck "Prompt for name, password, certificate, etc." (if you, of course, trust those who have access to your computer). That's it, now, when you launch the connection (by clicking on the shortcut), it will start connecting automatically. The rest is easy.
5. Start -> All Programs -> Startup. Copy the shortcut to your connection there in any way. Enjoy :)
O God of Earth and Altar, Bow down and hear our cry, Our earthly rulers falter, Our people drift and die, The walls of gold entomb us, The swords of scorn divide, Take not thy thunder from us, Take away our pride.