Your application is put into RAM when you do this. Thus, when you reset power, the app is going to be gone. You have a couple of choices;
1) Add the application into your image
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/wceosdev5/html/wce50conmodulessection.asp
2) Put the application in non-volatile memory file system.
- CF card
- USB H memory stick
- Flash File System (YAFFS, Flash FX, .etc)