I haven't tried, but I'd do:
1. create a fileset with BGInfo executable itself
2. create another fileset with:
- your configuration file (the bgi file you created and then exported)
- a lnk (shortcut) file you will place in the "AllUser" Startup directory, that will start BGInfo deployed in 1 with the bgi file deployed in 2.
I'd then use fileset dependency (the BGI file depends on BGInfo), and then deploy the BGI fileset (so BGInfo will be automatically deployed before the bgi file).
the idea behind the 2 filesets setup is that it will allow you, for instance, to create different configuration files to deploy to different computers.
So you would have
FS1 = BGInfo
FS2 = config1, depending on FS1, deployed to device 1
FS3 = config 2, depending on FS1, deployed to device 2
the added value is that if you upgrade BGinfo, you just have to update FS1 and you are done.
That said, everything in one single fileset works, and as BGInfo is definitely a small beast, it's not a big problem to duplicate everything.