There is a file in /application/config called constants.php
I normally put all mine in there with a comment to easily see where they are:
/**
* Custom defines
*/
define('blah', 'hello mum!');
$myglobalvar="hey there";
After your index.php is loaded, it loads the /core/CodeIgniter.php file, which then in turn loads the common functions file /core/Common.php and then /application/constants.php so in the chain of things it’s the forth file to be loaded.