It's not that difficult to autostart programs when KDE logs in, but nevertheless you can use a dedicated (unofficial) kcontrol module:
http://autostart.pwsp.net/
Works fine here, and while it's not essential, it does save me some tuning work.
Should work with Mandriva, I guess- although I've stopped using that distro since some two years ago: buggy and far away from the "bleeding edge".
Latest versions of Gnome have their own autostart manager embedded, AFAIK (not swearing, I do not like and/or using Gnome).
Compilation should be fairly easy, once you have kdebase-devel, qt3-devel and kdelibs-devel packages installed. It may even be available from the Mandriva /contrib repository as a binary, I've not checked that.
And since Azureus has no KDE integration, it would be wise to close the program before logging out of KDE- else you may see at next login messages complaining that "Azureus was not properly shut down..." and blah-blah-blah.