I use Compiz for my window manager (replacing Openbox) and to get that to work I had to edit:
Replace 'openbox-lxde' with the correct line to start your alternate window manager.
I'm pretty sure this is the file that needs to be changed. There is also a system-wide config file for this in /etc/xdg/lxsession/LXDE/desktop.conf, but I don't think you need to edit that one to change the window manager for your user. I'm not sure why the Desktop Manager gui fails to properly set an alternate window manager, (I guess that would be an LXDE bug), but I do know I had to manually edit the config file to get Openbox to quit starting.