the init scripts are used to start or stop services.
The start up's are in your rcx.d directories.
Create a softlink to the above nagios file.
ls -la /etc/rc3.d/
The above will show you the startups that you have now.
anything with a Capital S will be a START, and if it has a Capital K, it will be a kill or STOP on the way down.
If you are using something like CentOS or Redhat, you can type
system-config-services and add "nagios" to the startup, if it's not listed in the list of services.