I am still running 8 (My daughter stopped my .iso download yesterday
) so I'm basing this off of KDE3. Also, I'm not sure about Gnome since I don't use it. In KDE it should be in the "Control Center". Go to "Sound & Multimedia", and under "System Notifications" you should see entries for "KDE is exiting" and "KDE is starting up".
Can someone confirm that it is the same in KDE4 and let nolebrink know how it is done in Gnome?
HTH
Forrest