Always when I logged into a Gnome session, automatically several application started up without me wanting them to start up (two terminal sessions and a nautilus windows). To get rid of them (at least I think so, I will see at the next login), you have to go to Main Menu - Preferences - More preferences - Sessions. Under the "Current Session" tab, one can remove the programs that are automatically started upon login and also specify in which order the programs are started that are started automatically.
In KDE, item in the /home/user/.kde/Autostart directory get executed upon session start. Just place a .desktop file into that directory to have it auto-executed.