You won't be able to run an MFC application before windows starts up because by definition MFC runs off of windows DLLs that are not loaded until windows itself is. Not to mention that Windows is what is responsible for loading a PE in the first place, so you won't even be able to load a compiled EXE or DLL without a custom bootstrapper.
In order to do what you want to do you have a few options. There are (easy) ways for windows to be set to load an application on startup. If that is what you want, then this is entirely possible.
However, if you wish to execute code before and while windows is starting up, then you must first overwrite the bootstrapper (with something like GRUB), execute your code (again, you will not have access to any standard library - you will have to operate directly on the buffers made available to you by the CPU if you wish to do any sort of I/O), then start up windows by launching its bootstrapper. I have no idea how to do this; but that is the general overview of what must happen.
You mentioned DLL injection, which is another possibility. I am not familiar with what DLLs, and in what order, are loaded during windows startup. That will be an exercise for you. What you will have to take into consideration, is that the higher level you want to exist in (i.e. what libraries are available for you to do File/Console I/O) the higher up you need to execute your code in the windows startup process.
My suggestion to you is simply write a program that executes as a service that is started up during windows initialization. Its easy to do, and you will have the entire HAL loaded and ready to actually perform tasks - rather then you having to write device-specific drivers in order to manipulate hardware before window's loads the HAL.