A bootloader is a small piece of code (usually installed to flash memory) who's only job is to find and start up a copy of Rockbox found on the hard drive. On iRiver devices, for instance, the original factory firmware file is patched with a custom Rockbox bootloader and then installed to flash memory. Rockbox itself resides entirely on the hard drive of the player.

a small program that is executed every time your computer boots up

is a program that starts the operating system. Many bootloaders give you the opportunity to load more than one operating system by letting you choose between them at a boot menu. Bootloaders like grub are popular because of this feature and are very useful in dual- or multi-boot systems.