I've never done such a thing, whats the exact wording, directions, and where do you put it?
1. Fire up Notepad.
2. I don't know the path to the file in question, so I just used iTunes because it was on my desktop. Type the following and adapt it to your needs:
cd C:\Program Files\iTunes
start iTunes.exe
cd C:\Program Files\Multi Theft Auto
start MTAClient.exe
3. Save it with a .bat extension instead of a .txt one.
4. Double-click it to fire it up like a normal exe file.
Tip: If you don't like seeing the commands displayed in the console window, put "@echo off" as the first line (without quotes).