In order to use CDM you must first edit your /etc/cdmrc
At least the binlist, namelist and flaglist entries should be added or edited
to specify the X window managers and console shells that you want before
you start CDM.  Something like:
binlist=('xmonad' 'startkde' '/bin/zsh --login' '/bin/bash --login')
namelist=('XMonad' 'KDE' 'Console Zsh' 'Console Bash')
flaglist=(X X C C)
Ensure the flaglist X entries correspond to the X-Windows programs, and the
C entries correspond to console shells.  Then just login with your username.
Remove xdm from default runlevel.