@nunopicado, I am sure there may be better ways of doing this but this worked for me.
1. edit your .xinitrc file with leafpad or vi
2. change the option of jwm window manager to soomething like
jwm)
jwm
exec firefox ;;
Why not other window managers? Just because I did not want to mess up other entries in my .xinitrc but there is no reason why you would not be able to do this. I used firefox just as an example of an app.
3. Make sure you have enabled jwm - in /etc/slim.conf file you should include jwm as an available window manager (this may be enabled by default)
4. Reboot and when you get the logon prompt enter password and press F1 which will cycle through all available window managers. When you get jwm displayed press enter.
This should take you directly to firefox as in my example. When you exit out of firefox you will be taken back to the logon prompt.
Note that you can change the default window manager to be jwm instead of openbox which overcomes the problem of having to press F1 to select the window manager.
Also, note that it appears jwm does not provide window decorations (window borders and minimize, resize, close buttons etc) so if you want these features you may have to start up a window decorator such as emerald.
Hope this helps.