Just create one in your home directory.
For instance, if you wanted to use fluxbox... just put this in your .xinitrc
or for gnome
and so on.. just have to find the name of the application that actually starts the window manager you want. Those are the names on my comp... could possibly be different on other machines, im not sure. just read the docs and it should be in there somewhere
There are also some example .xinitrc's on the net... just google for them and you can see some of the things that people do. Its a lovely thing I just recently discovered