How can I automatically have a session start when I start Indigo?

There are two options.

1. If you click "Edit", "Program Preferences" and then select the "Session" tab in the program preferences dialog, the first option on the screen is "Open Last Session at Program Start". If you enable this option, the last session will be automatically reopened on program startup.
2. If you need a discrete (specific) session to open each time, you can include a command line parameter in the startup shortcut to include the session file name. This will forcefully open the specified session file as Indigo is loaded.

Here is an example of the shortcut path including a fully qualified session file:

(on a 64 bit version of Windows)
"C:\Program Files (x86)\shadeBlue\Indigo\Indigo.exe" C:\Program Files (x86)\shadeBlue\Indigo\SESSIONS\MySession.itf

(on a 32 bit version of Windows)
"C:\Program Files\shadeBlue\Indigo\Indigo.exe" C:\Program Files\shadeBlue\Indigo\SESSIONS\MySession.itf

If you are just needing to open a telnet session to a specific hostname or IP address, you can also just include the IP or hostname as the command line argument. This will open a new quick connect session to the specified host.

(on a 64 bit version of Windows) 
"C:\Program Files (x86)\shadeBlue\Indigo\Indigo.exe" 192.168.1.50

(on a 32 bit version of Windows)
"C:\Program Files\shadeBlue\Indigo\Indigo.exe" 192.168.1.50

This abbreviated version of the command line also works from the Windows start Run tool: 

indigo 192.168.1.50 
indigo myhost
indigo myhost.domain.com