Go to the startup tab and deselect the items you don't want to run.
Reboot.
After you reboot you'll be presented with the msconfig window again. Check the box to not run the Windows configurator in the bottom left. That's it, you're done. Your changes are, for all intents and purposes, permanent until you select them to run again, if you ever do.
If you reboot after checking that box you won't get the Windows configuration window.
If those startup items just sitting there waiting for you to turn them on again or delete them bugs you :^0 seek professional help before it's too late.
Kidding.
Download Sysinternals Autoruns from here:
http://technet.microsoft.com/en-us/sysinternals/bb963902.aspx
You'll be surprised at the amount of crap that loads when you run Windows.
You can deselect any startup items with Autoruns and you can also right-click delete them. I'm WARNING YOU! Don't delete or deselect anything until you KNOW what it is! You can easily break your computer if you deselect and delete the wrong item. My method is to simply deselect and not delete because the checkbox acts as a little switch, on or off. If it's off (unchecked) it's not hurting anything and you can easily turn it back on.
If you change anything with Autoruns you have to reboot for the changes to take effect. You won't get a nag warning at reboot like you get with msconfig.