It all depends on what Kickstart/Workbench version you have, as standard, the A500 does not come with a hard drive, but an add-on hard drive can be plugged in to the side expansion slot (on the left)
If you have Workench 1.3 (or even 1.2) then edit the Startup-Sequence file in the S folder, to do that, double-click the Workbench1.3 disk icon, then double-click SHell - when the prompt appears (usually 1.SYS:>) type in ed S:Startup-Sequence - add your commands (or filename of the program) into the file, make sure you do it before the EndCLI command at the bottom and then press Esc followed by typeing x and pressing the enter key.
If you have Workbench 2.0 or above, it's far simpler - just drag the program icon into the WBStartup drawer/folder on the Workbench2.0 disk.
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Just to add, if it's a Workbench 1.2 disk (rather than 1.3), instead of opening Shell, open the System drawer/folder, there you'll find a CLI icon, double-click that.