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That warning is just a warning, which the program being run went past. From the error, I'm guessing you tried to start fluxbox by entering the command, "fluxbox"? Like any window manager, fluxbox needs a running X display to connect to. The two typical ways to accomplish this are to run "startx" from a text login or to use a graphical login manager (like xdm, gdm, or kdm).
Of these, using either gdm or kdm is the easiest--they're graphical login managers that let you choose what sort of session you want to login as (e.g. with a fluxbox session). Using either "startx" or "xdm", you'll need to manually edit a file to get fluxbox to startup automatically.