Using kcontrol (KDE Control Center):
Select 'System Administration' branch
-> then 'Login Manager'
-> open tab 'Shutdown'
--> in Box 'Miscellaneous'
--> choose in 'Boot Manager' Pulldown-box: 'Grub'
(To change something, you must have changed to Administrator mode via the button down
Or add this entry in section [Shutdown] of the file /etc/kde3/kdm/kdmrc