in your ~./xinitrc add this at the end:
That shoule be good enough. Make sure you put the correct path though. I compiled IceWM and that is where icewm-session exists but for an installed binary, I have no idea. Might do a locate icewm-session after running updatedb.
#Start the Window Manager
If you don't have a ~./xinitrc, well..it depends on which distro you are using. If you have RH9 or Fedora, I think it uses something called:
~./X-resources or ~./X-resources-default something like that and then edit it.