For example in Windows 2003 Server you can:
1) specify the Logon script on the "Profile" tab of the user properties dialog in the Active Directory Users and Computers.
2) specify a logon script in Group Policy.
If your client(s) have Windows 95, Windows 98, Windows ME, or Windows NT, group policy is not applied on computers with these osses(sp?). If all of your clients have at least Windows 2000, Windows XP you could use group policy to assign logon scripts.