I'm new to linux, I've just setup my Fedora 4. Just wondering how to add a env variable so that it's exported when linux starts, no matter what desktop system I used, GNOME or KDE, even in pure console mode?

You can setup environmental variables in /etc/profile, /etc/profile.d or the users own config files e.g. ~/.bash_profile. Personally I prefer using /etc/profile.d because that way I don't mess with the stuff in /etc/profile.

Look in the /etc/rc.d/ directory. There should be a rc.local script there which is intended to be the last script executed by the boot process. Export your values from there and, I believe (but I've never done it, having no need), they should be visible to later processes. There are also rc.<n> scripts for each different run level, and the rc.sysinit script that controls the whole boot sequence.

Based on my reading of /etc/rc.d/rc.sysinit, I believe the boot sequence (for scripts) is:
/etc/rc.d/rc.sysinit
which calls, in turn
/etc/rc.d/rc.<n> # for the specific run level
which, in turn, calls
/etc/init.d/* start # for all the services set to be started at the that run level
and then calls
/etc/rc.d/rc.local

Edit: Yes, /etc/profile is probably a better choice for your purposes.

thanks guys, once more question, when I added an new export statement in /etc/profile, how can I apply the change on the fly, without reboot?

source /etc/profile

Thanks a lot