you can go here to download the Icewm-ultra.pup package ... just download the file and click it to install
http://dotpups.de/dotpups/WindowManagers/Icewm-ultra/
or you can download my IceWM 1.2.28 package here ... just click to install
http://puppylinux.org/wikka/DotPups
or you can use the Dotpup Downloader program to download and install
in some window managers, like Icewm, you can switch to another wm in the menu
to switch to another wm and make it the default wm, shut down the wm (in the menu) and restart X windows with the wm you want ... for example, type:
startx icewm
or
startx jwm
there are more window managers here:
http://dotpups.de/dotpups/WindowManagers/