Two things to try.
1)Check the settings you'll find here
menu > settings > wireless & networks > wi-fi settings > menu > advanced > wi-fi sleep policy
2) Did you turn on airplane mode? If so, that can cause wifi to be turned off after each boot, but it's an easy fix:
Install Android Assistant from Market, open it, tap the "tools" tab at the top, then look for the airplane button in the lower right corner. Make sure it's gray. If it's blue, tap it to clear it.
I expect #2 is the correct answer.
(Credit: #2 is stolen word for word from Colchiro).