xwmconfig is a Slackware utility adopted by Zenwalk. Xwmconfig is short for "X Window Manager CONFIGurator" and its purpose is to define the default desktop environment (DE) or window manager (WM). A window manager, is very basic and merely provides with the ability to manage windows, and not much more. A desktop environment not only comprehends a window manager but also provides various applications and plugins. When run, xwmconfig will check which window managers are available on the system and ask which one you want to use.
Xwmconfig is not the usual way to configure this because most Zenwalk users will take advantage of the GDM login manager. This manager allows the user to configure which Window Manager / Desktop Environment should be loaded when starting X-Window. It is only for the small group of users who prefer to start X-Window in a different way that Xwmconfig still comes in handy.
Xwmconfig is available if you open a terminal and, as normal user, execute xwmconfig. Do not run xwmconfig as root unless you want to change settings for root.
Xwmconfig can be run as a regular user; if you run it as root, it will configure root's settings, and not yours... So don't be too hasty ;-). Simply select the graphical environment of your liking and click OK.
DE/WM settings are stored in the ~/.xinitrc file. On a default Zenwalk install, you will find it's a script that launches XFCE. Changing your DE or WM can be done simply by replacing the ~/.xinitrc file with the one that calls your preferred graphical environment.