I don't know about Zenwalk specifically, but as it's based on Slackware, you might try running "xwmconfig" and see if it gives you the option of choosing XFCE in the resulting window. If that doesn't work, try:
Code:
echo ~/.xinitrc exec xfce4
EDIT: Just wanted to add that Zenwalk doesn't seem very active any more; you might consider trying
Salix (it also has a dedicated forum) instead, or just diving into Slackware proper.