Depends if you login in graphical or text login. I login as text, so then I edit the file called xinitrc (it could be either located at your /etc/X11/xinitrc or at your home directory as .xinitrc
There, I search after the line which start my display manager and add what I want to start too. E.g:
exec gaim &
exec blackbox
That would start gaim, and then blackbox. Remember to add an "&" at the end of all programs you want to start, but not the last one