You don't need to create any batch files, msi files, etc...
In one of your GPO's select the following:
User Configuration\Windows Settings\Scripts (Logon/Logoff)
Double-click "Logon"
Click "Show Files..."
In the window that opens, copy the LSCLIENT.EXE file there. Close the window. Back in the "Logon Properties" window, click the "Add" button.
Click the "Browse" button in the "Add a Script" dialog and select the LSCLIENT.EXE file that you just copied over. Click "OK" and "OK" again.
Now when the users logon, the LSCLIENT.EXE program will run (as long as that GPO you modified is applied to the SITE/DOMAIN/OU the user is in).