How can I add for example my newly installed XFce4 windowmanager to the Session Types list at the login screen?

Try following:
Assuming you are running SuSE and your KDE Version is >= 3.2 and you use KDM
for log-in.
cd /opt/kde3/share/apps/kdm/sessions

There you'll find the descriptions for all sessions

now log-in as root:
su

Create now an entry for your XFce4 windowmanager with the extension
.desktop so : XFce4.desktop

e.g. vi XFce4.desktop

You the existing ones as template. You at least need following your XFce4.desktop:

[Desktop Entry]
Encoding=UTF-8
Type=XSession
Exec= here you need to enter the windowmanager binary with full path
TryExec= the same as above
Name=XFce4

Hope this helps