There was no official support for this in 1.x, but there were some unofficial ways. Right now, hijack probably has enough implemented to allow this fairly easially (easier then my old hack the init to play it at 0db method).

In theory, this is what you woud do:
1. Upload the startup sound to the empeg, and note it's fid
2. Write a script that is run on bootup that waits for the player to start
3. Once the player has started, immediatly feed it a play code and the fid via the /proc interface in hijack
4. Find some way to restore the last playlist.

Step 4 is what I am not sure about. This would be the easiest way though, as it involves one script, and no need for volume managment.