you might want to try adding the command to the .xinitrc -file (notice the dot before the actual name; dot-xinitrc) in your home directory. if such file doesn't exist, create one; just plain text file, and add a new line to it like
this should start xmms (if you have it) every time X starts....I don't know how this works if you have graphical login, but try it out. might work
and you lose nothing if it doesn't...