Try pressing the [CTRL] or [ALT] key while moving the mouse wheel. It may cause the window to move left<->right. This may depend on how the mouse is setup in your XF86Config.
You could change the default in your lilo.conf (lilo) or menu.lst (grub) file. If you change the lilo.conf file you need to rerun /sbin/lilo as root.
You haven't mentioned which session manager you are referring to. It may use the 'rdev' command or something similar to change the default setting on the fly. However, this can be a dangerous way of doing things, and rdev isn't recommended for newer kernels.
Sample Grub menu.lst extract
kernel (hd0,4)/vmlinuz root=/dev/hda7 vga=791
In this example, changing the default from 0 to 1 will result in windows being booted by default.
You could make two copies of this file, lets name them menu.linux and menu.windows, which differ only in the default entry.
Then to make things convenient, you could have a script that copies one or the other to menu.lst. This would need to be done as root, which makes things less convenient unless you add a sudo entry (using visudo) allowing you to do this.
Using the Session Manager, it you want to change the setting on the fly would still be the most convenient.
One other option exists for some computers if you have windows on one drive and linux on the other. Let's suppose that Windows XP is installed on /dev/hda (C:\) normally, and that Linux is installed on /dev/hdb with lilo or grub installed to /dev/hdb.
You can select your default boot device in bios. Your bios may have a quick select key that you can press to select the booting device on the fly.
This would be a method you could use if another user of the computer didn't want to be bothered with a linux menu entry. ( Such as if he or she were a Microsoft employee