If you just wanted to display something then "message of the day" aka /etc/motd will do what you want. The contents of /etc/motd are displayed by login(1) after a successful login but just before it executes the login shell.

If you want to execute a program when the system starts there are multiple methods and it depends on the system. On linux just add a line to /etc/rc.local and it will get executed at the end of the startup sequence. One win32 see this for the registry run keys and the startup folder hacks.

To execute something when a user logs on in linux just stick a line in /etc/profile for a global effect or any of ~/.bash_profile ~/bash_login ~/.profile for a per user effect. On win32 it really depends on your setup. See this drag and drool example. For more examples try Google. "linux logon script" "windows logon script" should work well.