Lets assume its not a daemon....
You can add an entry into /etc/rc.local to have it start on bootup. There can be problems here depending on what order your program loads vs the firewall... it might not be a problem if it's not required to be permitted / blocked by the firewall.
Now lets assume it IS a daemon....
You can add the entry into /etc/init.d/ or /etc/init.d/rc3.d/.
You will have to create the start and kill scripts, and typically these will be supplied by the author of the software. In fact they normally create these for you.
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