These two options must be enabled:
Settings > General > General > Auto-connect on Shareaza startup
Settings > General > General > Start Shareaza at Windows startup

Usually this will do it. But for connecting to eDonkey2000, Shareaza needs to know the IP and port of a eDonkey2000 server. Usually there are such hosts in the host cache (F8 to open it), but in some case (for example after freshly installing Shareaza), this cache is empty. In this case, Shareaza queries the discovery services (F9 to view them). You might want to add a new discovery service for eDonkey2000: Just hit F9 to open that window, right click and select to add a service. Enter http://www.edonkey2000.com/server.met and select 'Server.met URL' as type of service. Hopefully this will help that it will always connect successfully every time. Once connected, Shareaza automatically fills the host cache, improving chances to get connected next time.