When you want to display the start up menu at the time you start Windows, you need to press F8. There is also a way of displaying it automatically:
1. Use Explorer and find Msdos.sys in the root directory -- it is a hidden file (see Show all files to see how to show hidden files in Explorer)
2. Make a copy of the Msdos.sys file in your TEMP directory, or any other directory. (just in case...)
3. Right-click Msdos.sys and select Properties
4. Uncheck the Read-only attribute
5. Open a Msdos window (click Start > Programs > MS-DOS Prompt and type edit C:\Msdos.sys
6. Under the [Options] section, type:
BootMenu=1
BootMenuDefault=1
BootMenuDelay=xx (where xx is the delay in seconds)
7. Save the file
8. In Explorer right-click on Msdos.sys, select Properties and check the Read-only attribute
You can also use TweakUI (you can find it on your CD-ROM in the \tools\reskit\powertoy folder) to change these settings on the Boot tab. 
Display start up Menu without pressing F8 on start up