It's all based off of HTC's autorun carrier customization system. Modifying the config.txt in the extROM use to give a similar result, but it's nice to have this built into most new ROMs too. Pretty simple really, you just create a text file called SDConfig.txt and put it in the root directory of your storage card. The file contains the location of any cabs you want installed, files you want copied, etc. Sleuth's thread at XDA explains it all very well:
http://forum.xda-developers.com/showthread.php?t=366337
Read that and post back if you have any specific questions.
Edit: Also be sure to check the wiki link from that thread for available commands:
http://wiki.xda-developers.com/index...gename=AutoRun