There are two ways that I know in which you could do this.
1) The easier way would be with LoginItems. To add a program to your login item list, goto 'System Preferences', click 'Accounts', the to the tab 'Login Items'. There you can add items to this list that will open up after you login. You can even click to have the app hidden after opening by checking the 'Hide' checkbox. The only downside to this is that the program doesn't load until login.
2) If you absolutely need the mldonkey daemon to run at boot time, you will have to create a Cron job for it. This following article from macosxhints shows how to set it up and modify crontab.
http://www.macosxhints.com/article.php?story=20041105070509783&query=startup+via+crontab