To simulate an AUTOEXEC.BAT for OS/2 sessions you can change the \CONFIG.SYS statement for OS2_SHELL to something like
SET OS2_SHELL=C:\OS2\CMD.EXE /K AUTOEXEC.CMD
In this example the program AUTOEXEC.CMD is executed for every new OS/2 session. (see also Special filenames)
Source: The OS/2 WARP Survival Guide