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Conveniantly enough in Mandrake, when I leave my programs up and then log out, and log back in later, they are started along with my desktop. i've not changed any settings for this. KDE does this, and Gnome also restores previously started programs (provided you leave them running when you log out or shut down)
Your Window Manager or desktop environment is responsible for opening windows up when you start it, not Linux itself. XWindows stores startup commands in your .xinitrc file (it uses the global xinitrc if you don't have one). Usually, though, this file just starts up your window manager of choice, so we need to know what you're using, as Xolo said.