Well, if you go into your System Preferences, you can go under the Users tab and go to your user name, and click on "Login Items". Those are the Applications that startup when you log into your user account. Hope this helps, it's a hell of a lot easier than Windows that's for sure. 😀
There isn't really anything like msconfig. You can see what's running using Activity Monitor, but that's more like Task Manager. You can set login items in System Preferences --> Accounts --> Login Items.