Under Linux you can automatically start a program through example by startup scripts in /etc/init.d but it will not allow you to run graphical applications on boot from your desktop.
Adding a new program at startup
Under Gnome, this is possible through sessions management.
For example, suppose you want Amsn to starts automatically once your desktop is loaded.
Go to System/Preferences/Session:
Then, you will see a small window (open sessions configuration). Click on "new" to add an application to start up, then put the name and the command of the application you want. Usually the command will be the same as the name of the application but this may differ from case to case.