Random,
There are a few different ways you can do it. The most common way would be to move a particle down the trajectory path with the STREAK flag enabled. Another way to do it would be to create a particle(sprite or model), determine its starting point and end point, then stretch the particle image to the length of the distance between those two points. Another way you could do it would be to sort of "mix" the two previously mentioned methods. Essentially you would have the trail start from the projectile, calculate where the projectile is compared to where it was one frame ago, then stretch the trail to the result. Again, there are a few different ways of doing it, could you elaborate more on what you want it to look like? I may be able to help you out if I can get more info.
