This is very easy to do, although very difficult to find. At least for me.
I wanted my system set up so that every time I restart Ubuntu, it would remember the applications that I had left open in the previous session. But I didn't know how to do it. So I looked for a way to initialize some applications that I have choosen at startup. After many hours of searching, I found and read this link:
And it's just so easy.
Go to System > Preferences > Sessions (most people will know what to do when they get here, the problem is just to get there )
At the startup tab just include your program and be happy
After this, I also discovered the option "Save sessions changes automatically", or something like that, under the first tab, "Session Options". Select it to mantain applications that you have opened in your session and changes you have made.
Very handy to gdesklet so that I don't need to start every time I turn on my pc.