Create a proper .desktop file in either /etc/xdg/autostart or ~/.config/autostart.

Here's an example file that automatically starts x11vnc for me. 

cat ~/.config/
[Desktop Entry]
Encoding=UTF-8
Name=x11vnc
Comment=x11vnc Server
Exec=program -nopw -noxdamage -forever -loop500
Terminal=true
Type=Application

An annotated example.

cat ~/.config/
[Desktop Entry]
Encoding=UTF-8
Name=program
GenericName=program
Comment=This is just a simple program.
Exec=program -options
Icon=/usr/share/pixmaps/program.jpg
Terminal=false
Type=Application
Categories=
OnlyShowIn=XFCE;

See Also