You can do that by placing a startup script in the appropriate runlevel directory under /etc/rc.d. If you're running graphical, that's runlevel 5, so place a script in /etc/rc.d/rc5.d. Scripts starting with "S" are for startup, "K" is for shutdown. They're executed in numerical order, so you normally would create one call "S99myprogram" for startup, and a friendly shutdown script as "K00myprogram".
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