By default LXDE and Openbox are not included, and so must be added by the user.
LXDE is available in the Zenwalk official repositories, but not as a metapackage. To download:
From the main menu, go to System Tools -> Netpkg Enter password and reload mirror Use 'search' function to select pcmanfm, openbox and obconf and install them with any dependencies. Use 'search' function to find 'lx' - Select lxappearance, lxde-common, lxpanel, lxrandr, lxsession OR lxsession-lite, lxtask and lxterminal and install with any dependencies.
From terminal (as root):
netpkg pcmanfm openbox obconf lxappearance lxde-common lxpanel lxrandr lxsession lxtask lxterminal Follow prompts to install with any dependencies.
Log out (or reboot) and on login, LXDE will appear on the gdm menu.
Since LXDE is modular by design, it is possible to skip some of the packages (pcmanfm, lxrandr, lxsession, lxtask and lxterminal) if you're sure you won't use them. You can always add them later if you need them. However, leaving off pcmanfm or lxterminal will cause some further editing of your system configuration, since they are the defaults in lxpanel.