ROX-Session is a simple session manager. It loads, runs any programs you asked it to, and then quits when you run it a second time (thus ending your session). It does not display any windows until you ask it to quit.

The first time you run it it will offer to make itself your session manager, so that you'll get a ROX desktop when you log in (see screenshots below).

ROX-Session will automatically run any programs in your AutoStart directory when you log in. You can open this directory by bringing up the menu over ROX-Session's icon and choosing Auto Start....