Run program on power up

I’ve tried creating the file “main.py” in just about every place I can think of. I’ve tried “/”, “/sd”, “/pyboard”, “/sd”, and “/sd/pyboard”. “/pyboard” is where I’ve read that it is supposed to go but that didn’t work. Since pico boards are used just about everywhere, I would think that getting one to run a program on power up would be easy. So, would anyone tell me the secret? Or point me to documentation that works?