It depends on the application you have creating the DWF.
If you are using the DWF Writer there is an option to do what you asked.
If you are using AutoCAD, it depends on what version you are using. Most versions don't have an automatic way, but there is a semi-automatic method: you right click on the printer icon in the lower right corner of the aplication (next to the communication center) and select "View last DWF".
You can also define your own LISP script that runs the DWF publish command and then follows up by launching the DWF viewer.
There is also the Freewheel ShareNow publisher which (a) makes a DWF, (b) publishes it to Freewheel so it can be shared, and (c) views the file you produced. You can get it from http://labs.autodesk.com
