Using the registry change, it is possible to set the state of the scroll lock, num lock, and caps lock keys upon start up.

Open the registry using START>RUN>REGEDIT {ENTER} and navigate to:

HKEY_USERS\.DEFAULT\Control Panel\Keyboard

Change the value of InitialKeyboardIndicators to:

0 - Indicators off
1 - Caps Lock on
2 - Num Lock on
3 - Caps Lock on and Num Lock on
4 - Scroll Lock on
5 - Caps Lock on and Scroll Lock on
6 - Num Lock on and Scroll Lock on
7 - Caps Lock on, Num Lock on, and Scroll Lock on

Close regedit.... and restart the PC.