Two completely separate questions here:
1. How to configure a custom kernel
2. How to run a user-space program at system startup
For 1), I'd suggest "don't worry about it for now".
For 2), I'd suggest "just an an entry to /etc/inittab
<= For something other than a quick'n'dirty hack, you want to create start/stop scripts in /etc/init.d instead.
You might also want to look at using Knoppix