Depends on the program, most, like media players will have an option to disable their "startup agents" in an options/preference section. Usually you can access that though the systray icon itself by double clicking it, or right clicking and opening it.
Alternately, you can go to start and run msconfig
Click on the "startup" tab and remove the checks for them there.
Occasionally some resist this and require other methods of disabling; let us know specifics if you have a problem.
The problem is that my computer will not go into susped mode. Says a program is using the system I assume that its a program that comes up on startup but I don't know which one it is. Thought I'd try them all in turn til I found it. Will Try msconfig.
You can also try doing a ctrl-alt-del and endtasking what you see there other than Explorer and systray.
If you have Win98 there is a power management troubleshooter that might specifically identify the problem if you can't.
I have WinFE and find that it will balk on going in to standby unless I disconnect using the modem icon in systray rather than the dialog box that pops up after I close the browser out. Some people have to specifically endtask rnaapp which may remain after disconnecting.
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