You simply need to set the InitialKeyboardIndicators value to 2

Windows Registry Editor Version 5.00

[HKEY_USERS\.DEFAULT\Control Panel\Keyboard]
"InitialKeyboardIndicators"="2"

Here are all possible values:

• 0 — turns off Scroll Lock, Num Lock, Caps Lock (default)
• 1 — turn on Caps Lock
• 2 — turn on Num Lock
• 3 — turn on both Num Lock and Caps Lock
• 4 — turn on Scroll Lock
• 5 — turn on both Scroll Lock and Caps Lock
• 6 — turn on both Scroll Lock and Num Lock
• 7 — turn on all three