As you can see in the Windows XP Setup Timeline at First Logon it says:

Both [GuiRunOnce]from winnt.sif and RunOnceEx executes at the same time

Does this mean RunOnceEx.cmd automatically starts just like WINNT.SIF, or do I still have put it in WINNT.SIF like this?

[GuiRunOnce]
%systemdrive%\Install\RunOnceEx.cmd

Runonceex.cmd is inserted into cmdlines.txt in $oem$ folder. This contains commands which are entered into registry.

If you choose to install directly from batch script, the you would use the guirunonce in winnt.sif. Like code box that you have displayed.

The msfn unattended guide is a good resource, for researching these 2 methods.

You see I'm quit a noob with those scripts

So with "batch script" you mean the language with "@ECHO OFF" and "start /wait"?

Then how do you call the script language where you use:...?

SET KEY=HKLM\SOFTWARE\Microsoft\Windows\CurrentVersion\RunOnceEx

REG ADD %KEY% /V TITLE /D "Installing Applications" /f

Anyway...I use the batch script and so if I understand correctly I then don't want to put it into cmdlines.txt, but instead only in WINNT.SIF?

if you have commands in your file that are for RUNONCEEX like you have, execute the CMD file from cmdlines.txt.If you instead use conventional batch scripting with

start /wait someprogram.exe

Then use GUIRunOnce.

The two run at the same time, but how they run is different. RunDLL32 executes the RunOnceEX keys the same time as GUIRunOnce, but the keys have to be PRESENT before it executes which is why they're imported at CMDLINES.TXT