I've just had a quick look around for this and i've found that this thread
might help with kde. However, if you're using gnome you might want to try going to the gnome control center (applications>system>configuration>gnome>gnome control center is the menu on my system) then go into the advanced folder and open up sessions. In there you should find a startup programs tab.
If you don't know the path to the program (i didn't) you can go into the mandrake control center and navigate to the system bit and open up the menu configurator and find the file paths from there.
well that worled for me anyway