I\'ve been chasing the answer to this question in the MATLAB documentation for a long time...
For example, at the bottom of
http://www.mathworks.com/help/matlab/
For me (I'm using Linux) it worked to put the "startup.m" to the home directory. Apparently, the home directory is by default on the matlab path. Strangely, it also worked when I put the "startup.m" into a newly created "matlab" (must be all lower-case) folder in the home directory. Let me know whether it also works on your system.