I was looking for this same thing because I couldn't get people to stop rebooting their computers when it was trying install managed software.
I came across this:
http://www.i-think22.net/archives/2007/12/18/windows-vista-and-managed-software/
Basically there's a setting at:
Computer Configuration\Administrative Templates\System\Verbose vs normal status messages
If you enable this setting you'll get alot more information when starting up and shutting down the computer.
The setting turns on a lot of messages though, not just the "Installing Managed Software..." message. I have been working with Server 2008 a little and it seems that this is the same kind of verbosity I see when Server 2008 starts up (or shuts down).
I don't know how it affects XP since I don't have a lot of XP machine close by to test.
