Put it in your own file and set the auto_prepend_file configuration in the php.ini / .htaccess file to point to it.
Update. Since you mentioned lighttpd in a comment, note that you can configure it like this in a global INI file with PHP 5.3:
[PATH=/vhost/domain.com] auto_prepend_file = /vhost/domain.com/foo.php [HOST=domain.com] auto_prepend_file = /vhost/domain.com/foo.php
Or you can create the file /vhost/domain.com/.user.ini and do the same:
auto_prepend_file = /vhost/domain.com/foo.php
Matthew
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