The proper way that should work in most Linux distros is to add a script for your application in the /etc/rc3.d directory (directory number may vary from distro to distro). By naming the script with an 'S' as the first letter, that tells the OS to start that application. The number following the 'S' sets the order in which that application is started.
If you're using GNOME as your desktop manager, you can also take a look at the session properties GUI that will make things a bit easier as long as you know the command line string to launch the application. You can pull it up with 'gnome-session-properties' at the command line, or in the menu options under System > Preferences > More Preferences > Sessions (that is the path on Fedora, it may vary on your distro).