One ridiculously easy way to do it is to put a small batch file in the Startup folder, have that call the application, and then as the next line, either tell it to run some kind of alerting program (either something to create noise, send an email, etc.), and/or just have it loop back and re-start the application. Something like this:
:loop
call c:\program files\myapp\myapp.exe
start /min /b c:\program files\myapp\sendalert.cmd
goto loop
So when the batch runs, it starts the app... when the app closes, launches another batch file that does whatever alerting you want, then loops back, and starts the app again.
It can be stopped from the task manager or by closing the batch window, so it's not 100% undefeatable... but then what is? Put a shortcut to the batch file into the Startup folder, then set it to start Minimized: