A clarification: Will I need to add some header files etc to my sketch
I've never needed to do anything like that. Just build the Sketch in the IDE and then upload.
or just upload (via programmer)
That's always worked for me.
and the sketch will run automatically, ie start with setup() and then loop() ?
And that's always worked as well. The fuses on the processor may need to be changed. But, if you have a programmer (any programmer), changing the fuses is fairly easy.
I don't want nor need a delay, just want it to start immediately
I think that's the way the AdaBoot bootloader works. If you want to continue using a bootloader, you may want to search for a "no delay" bootloader. But, if you have a programmer, there aren't many compelling reasons to use a bootloader.