How to change the Startup/Shutdown music in KDE 4.6.2
Than select --> Common Appearance and Behavior --> Application and System Notifications --> Manage Notifications In the right window pane under Event Source choose KDE Workspace than choose the task you would like to change.
Be sure to click APPLY when you finished making your changes.
How to change the Startup/Shutdown music in Mate 1.8.1
From the PC Menu, open System-->Preferences-->Startup Applications
Select "Mate Login Sound"
Command should be "paplay /path/to/some/soundfile.ogg" (without the quotes)
Note: I tried an mp3 file and it didn't work. Use a file in ogg format.