In the software manager ("Install & Remove Software"), search "lxde" and choose (and install) the meta-package, task-lxde.
Or you can use the console (on root):
Switch to LXDE in session's options in KDM/GDM/XDM.
To use LXDE by default, open the Mageia Control Center, go to "Boot" and then set up autologin to automatically log in.
Choose LXDE in Default Desktop form.