Startup scripts are run under the System account which by default has probably a couple issues (untested just guessing at what might be going on)

The system account uses it's own profile - thus is not interactive with current user logon and aside from being able to see the underlying process run you may not be able to make the actual dialogbox visible to the current user.

There actually is a process to do that but is for debugging and is not for startup or logon scripting.

From TechNet:
Beginning in Windows Vista, startup scripts are run asynchronously, by default.

Setting startup scripts to run synchronously may cause the boot process to run slowly.

In Windows 7 and Windows Vista, startup scripts that are run asynchronously will not be visible.

Enabling the Run Startup Scripts Visible policy setting will have no effect when running startup scripts asynchronously.

For a Windows 7 computer this might help some if you can get the script to be shown, but again I don't think it is designed to do that and is probably a tweak if you can get it to do it.

The Welcome screen may be displayed for 30 seconds, and the logon script interacts with me when I try to log on to a computer that is running Windows Vista or Windows Server 2008

REG_DWORD:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Policies\System
DelayedDesktopSwitchTimeout=0