To change your AIM auto start options, first bring up your AIM Preferences window by clicking the preferences icon in the Buddy List toolbar

or by right clicking your system tray AIM icon.

Now select the "Sign On/Off" category on the left hand side, and your auto start options will be displayed on the right.

Select the options that are most convenient for you and then click "OK" to exit the preferences window.  Your new settings will now take effect.