SysV init systems (RH, Mandrake, pretty much everything except Slackware I think) have a set of scripts in /etc/rc.d/init.d (of course, the directory may vary, but it should always be init.d, and it'll always be under /etc somewhere). One of the files in here will be executed last. Which file that is depends on the symlinks in /etc/rc.d/rc3.d (or rc5.d if you boot to runlevel 5). The symlinks in that directory that start with S get executed in alphabetical order, so the last S one that gets listed is what you're going to want to edit. On my system, that points at /etc/init.d/rc.local; on others, it may point at /etc/rc.d/init.d/rc.local, or even somewhere else. But edit that file and add your hdparm command to the bottom of it.
Alternatively, skip hdparm altogether and just recompile your kernel to have full support for your IDE chipset. The kernel will by default set the IDE controller to the highest speed it says it and the drive can support, and it'll also turn DMA on if you tell it to in the kernel configuration. There is no need for hdparm once you've done that.