About xmessage
 

I got a xmessage that I want to put just before the user logs in. Which in which file I must call the script.

depends on which window manager you use. Do you use gnome, kde, something else?

In KDE you can put scripts in ~/.kde/Autostart, although that's immediatly after login, not before. Also, consider using kdialog if you need more options (and it's prettier).

Not sure about Gnome.

Also, see this thread.

I'm running Gnome in FC5. know the name of the startup scritp in gnome?