What distro are you running? There are ways to make it so your distro will actually set this up for you, but to do it yourself, in ultra basic form:
in your home directory create .xinitrc:
pico ~.xinitrc
now add this (there are billions of options to go with this, this is just the "minimum"
exec fluxbox
and now save the file
CTRL+X then Y (for confirmation)
and shutdown your X server, or if you are in console already, go ahead and "startx".
Cool
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