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X throws this error:

Xsession: unable to launch "/usr/share/xsessions/openbox.xsession" Xsession
--- "/usr/share/xsessions/openbox.xsession"  not found; Falling back to 
default session.

But a trip to the Command line reveals:

sam@Aristotle:/usr/share/xsessions$ ls 
-rw-r--r--   1 root root  164 2011-05-22 12:27 openbox.xsession

I am using Ubuntu 12.04, openbox 3.5.0, and X.Org X Server 1.10.4

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I am not sure why it reports not found for you, but you should make the file executable* as root:

[The] files in a user's home directory may be created or modified by the user any time and must be executable shell scripts.

To do this you want to enable the execute permission on your file, as root:

$ sudo chmod a+x /usr/share/xsessions/openbox.xsession

Optionally you can also use a file in your hone directory:

$ cp /usr/share/xsessions/openbox.xsession ~/.xsession (not ~/.Xsession)
$ chmod a+x ~/.xsession
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