Upon Start Up various icons generally appear in the Notification tray - but not always.
What does not appear there may still be running if you use Windows Task Manager.
I am told by others with IT Dept. experience on many machines that this is part of the joy of Windows XP.
I have also observed that when I hover over the Comodo icon it generally says it is set to "custom" and is up and running, BUT sometimes it says it is "Initialising", in which case I merely right click on the icon and choose the option to "adjust security level" and it shows me it is at custom, and allows me to choose "Block All" or "Allow All". Instead I merely click on the middle option, i.e. I re-affirm that I want "Custom", and immediately after this I can hover on the icon and it now is up and running - I think it was ALWAYS up and running after the first second or two from start-up, and my actions made no change other than to cause a refresh of status information that Windows sometimes overlooks as it rushes around at start-up.
I think this too is part of the joy of Windows XP.
n.b Even when it says it is initialising, before I force a status display refresh, it will still seek my decision to allow or deny applications that I have chosen not to have "remembered", and it still shows in the Log that it is blocking Network Rule violations - so it is working even if the Windows XP notification tray is presenting obsolete status information.