This is the most simple answer where you are not concerned about performance:
if (strpos($string, '_') === 0) {
# code
}
If strpos returns 0 it means that what you were looking for begins at character 0, the start of the string.
It is documented thoroughly here: http://uk3.php.net/manual/en/function.strpos.php
(PS $string[0] === '_' is the best answer)
