Software installation policy is processed before Startup Scripts are executed. Sometimes that's exactly what you want, and other times it's not. You can't change it.
When I want a startup script to run before software installation I end up using group membership to control the execution of the startup script and I end the startup script with a command to add the computer to a second group that controls software installation. The only problem with this is that, to date, I have yet to find any reliable way to restart a Windows XP or newer OS from a startup script. (Yes, yes-- I've tried a variety of methods, too. I can discuss them in detail if you'd like.) As such, this always makes this strategy require two boots to "take effect".
You mention "preferences", so I think you're looking at doing things to the user's environment via a logon script. Logon scripts are executed, obviously, after logon. If you're looking to check to see if a piece of software has been installed during the logon script query the Windows Installer "database" in the registry to see if the program is there and "bail out". You'll find the installed products in the "HKEY_CLASSES_ROOT\Installer\Products" key. Obviously, you'll have to figure out the GUID for the package you're dealing with.
Edit: Group Policy client-side extension (CSE) processing order is performed based on the value of the GUID for the client-side extension, from what I've been able to glean from documentation. It looks like the CSE's with numerically higher GUIDs execute later. I don't have the GUID for the "Preferences" CSE handy so I can't tell you how it should act re: running before / after other CSE's.
On Windows XP, at least, dig into HKLM\Software\Microsoft\Windows NT\CurrentVersion\WinLogon\GPExtensions and look for the CSE for "Prefernces". REGEDIT will sort those GUIDs numerically, too, so you could be able to tell, visually, if that "Preferences" CSE is going to execute before/after other CSE's.
One alternative would be to use Software Restriction Policies (Computer Configuration -> Windows Settings -> Security Settings) rather than the "Do Not Run Specified Windows Applications" user policy. This will also give you more flexibility around how you select the application to be blocked.
Keep in mind that any blacklisting approach can be worked around. If you want to ensure that the restriction can't be bypassed, you'll need to use Software Restriction Policies in whitelist mode, i.e., specify those applications that are allowed to run rather than those that are not.
Best Answer
According to someone who looks like he'd know...
Combine first and second links for GPP approach, or third and fourth for GPO with script.