the TLS is meant for this.
Try the attached example code (C++),
Anyway consider that the TLS is not the only option, the same result is obtained putting your code into the DllMain of a dll added to the import table. The Dll is loaded by the system loader and the import table resolved. The DllMain of each dll is called at this stage.
This latter approach requires an external dll anyway, but a solution to this is to add an export to your own program and adding itself to the export table doing a circular reference to itself.
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