The Scripts folder contains a special script called startup.lua that is automatically executed when Glu starts up. It runs for the duration of the Glu session and provides a nice interface for running the other supplied scripts as well as your own scripts (the location of which is specified in Preferences > File).
Note that startup.lua only creates buttons for scripts that have the same name as their parent folder. For example, if you've written a script called MyGreatGame.lua then put that file inside a folder called MyGreatGame, and ensure that folder is located inside your scripts folder. The next time Glu starts up you should see a button (in the right column) with the label MyGreatGame.
If you don't like the interface provided by the supplied startup.lua then you can easily override it with your own version. Glu looks for startup.lua in your scripts folder first, then in the supplied Scripts folder. For example, suppose you always want Glu to run just one script. All you need to do is create a startup.lua file that looks like this: