Application auto start is the ability for an application to be automatically started up before receiving any requests. In addition to priming the application for the first request, application auto start is also a way to have applications that start automatically and run continuously. One example where this is useful is service discovery, where an initial listener needs to be running to allow other services to be found.
Windows services have supported automatically starting when the machine is booted, but web services hosted in IIS have used a message-based activation model. There are workarounds for automatically starting and keeping an IIS service running, such as creating a second service to regularly ping your real service. However, an integrated solution would clearly be preferable.
The IIS Application Warm Up module is a beta extension for IIS 7.5 that adds the application auto start ability. You can get the module for Windows 7 and Windows Server 2008 R2.