-does all the scripts in the /etc/init.d runs automatically when linux boots up?

A lot of them do, but not all of them. Some of them are set to and some aren't. And of course all of this can be changed, scripts can be added and scripts can be removed. Just because the script is in that directory though dosen't mean it will be automatically run.

-ok
-so how can i make a script in init.d runs automatically when linux boots up?

Look in /etc to find a set of directories named rc1.d, rc2.d, etc. These contain links to the scripts in init.d
Each of these corresponds to a "runlevel". the runlevel to use on bootup is specified in /etc/inittab, like so:
id:5:initdefault:

This says to start in runlevel 5. Init then goes to rc5.d and runs the links to the actual scripts in init.d the links are prefaced with "K" for kill, or "S" for start--followed by a number. These links are followed in ALPHABETICAL order--not numerical. The S and K prefixes cause arguments to be passed to the scripts.

If you are not yet confused, then we have failed....

On which Linux distribution because this can differ between distros.

-i am trying both on UBUNTU and CentOS...

the modern way on the debian system is to use the command
update-rc.d
to manipulate the startup links
see man update-rc.d

where could I put a command to run after I startx at? I just need it to launch a program (azureus) and to change my mouse settings (xset m 0 0)? Running slackware 10.2 btw.

On CentOS, you can use the "chkconfig" command. Run "man chkconfig" to find out how to use it.

-ok noted...but how about in ubuntu?

Did you try the commands already given to you by studioj??

-yes i am trying but i have a hard time understanding it.
-i have copied my script to /etc/init.d and tried this on the terminal "$ updated-rc.d startme start" (startme is my script) but it wont work something is missing on my command and i dont know what it is...
-is there other ways run my script upon linux boot?