Notice
The intro is really hard to hear, but I assure you it's there. Turn the volume way up. You can hear a lot better on the live version from 'And All That Could Have Been'.
The creepy synth-strings line in the 2nd verse is physically impossible to play on guitar. That's why you get a keyboard (You shouldn't even be attempting to play any NIN live without one!). The notes are E, F, G, high E; the first three are white keys right next to each other.
Obviously, 6 guitars and a bass are not nearly enough to reproduce this. Also, MIDI slaughters the song, so forgive me if some of this sounds like the theme songs to a Nickelodeon show.
The distorted guitar in measures 49-59 is actually two guitars, fading in, panned left and right. The right panned guitar fades in about 5 bars or so behind the left, and omits the mute and vibrato.
As usual with Trent Reznor, the sound is almost impossible to emulate. However, I've had luck with auto-wah, playing with your fingers, with slaps and pops thrown in. The Chorus should be played with a pick, with no wah.