That's because GDM uses what it thinks is default, which is Xfce. Is there a choice to select openbox in the GDM menu? If not, there's a way to add a new entry to the GDM menu, but I don't know how to do it. Try doing a search on the forums or Google and you'll probably find the answer. Maybe someone else will chime in who knows how to do it.
EDIT: Here's a thread that might help http://www.linuxquestions.org/questi...hreadid=132907