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Here's an answer from Google's Chrome Forum:
You have to add the -incognito switch to the shortcut Target box, and it will open Chrome in incognito mode.
To add the switch, right click the Chrome shortcut icon and select Properties.
In the shortcut tab there is a target text box, with:
C:\ Documents And Settings\USERNAME\Local Settings\Application Data\Google\Chrome\Application\chrome.exe
Add the [space]-incognito to it so the very end of the URL looks like:
And that should do it.