Visual Studio preserves the visibility state of its own toolwindows (Solution Explorer, etc.) but not of toolwindows created by add-ins. It is up to the add-in to store the state of its toolwindows when unloaded, and restore them when it is loaded again. So, some add-ins can show their toolwindows when loaded and not only when the menu to show them is invoked. However, some developers are noticing that in some cases toolwindows don’t show when the add-in is loaded on startup, but they show if the add-in is loaded by hand using the Add-In Manager. If this is the case, chances are that it is because you are not using the OnConnection method correctly and the IDE is not fully initialized when the add-in is trying to show its toolwindow:

HOWTO: Use correctly the OnConnection method of a Visual Studio add-in
http://www.mztools.com/articles/2008/MZ2008004.aspx

This is just one of the many side effects of a badly designed IDTExtensibility2 interface that populates the MSDN forum with related questions every week…