Let's say you have a game installed called HIGH NEEDS and the executable is called HN.exe

Here's what to do:

-Create a new textfile in the game-app wathever-directory (let's say C:\HN), but instead of giving it the .txt extension you name it  HN.bat
-Right-click this file and choose 'Edit', you'll see it'll open notepad. Put this line in:
cmd /c start /High HN.exe
-Save (make sure you save it as .bat, not as .txt) and close.

Now create a shortcut to this file and place it on your desktop. Every time you doubleclick this shortcut HIGH NEEDS will open with priority set to 'high'. (ofcourse you can also create a batchfile on your desktop, containing the full path of the app you want to start but the nice thing of creating a shortcut is you can give it an icon).

These are all the settings: Realtime, High, AboveNormal, Normal, BelowNormal, Low.

*Realtime is not recommended unless you have a dual-CPU system!