Thank you guys,
I'm still working on it and try to understand what I would have to do.
I found THIS
and there I found I would have to enter the command line here: /etc/rc.d/rc.S
I'll keep you posted.
EDIT May 8, 2008
The command/program I want to start at boot time is 'martian_modem'.
It starts the driver for a Lucent/Agere DSP WinModem.
When I enter this command with code: echo "martian_modem" >> /etc/rc.d/rc.local
boot does not finish.
The last line on the screen is: martian: info: Your port is /dev/ttySM0
So, it seems that the driver is started before the actual boot is finished!