I have Windows XP running in a virtual machine under GNU/Debian, with LXDE/Openbox as DE/WM. I use Qemu to run my virtual machine.
Now, I wanted to have Qemu running in desktop 4, fullscreen, above everything (including my lxpanel). A little adjustment in the rc.xml (lxde-rc.xml under LXDE) fixed this. You may set default action on every application you want to run. My entry looked like this:
I now reloaded my config file, and WinXP now runs fullscreen at default above everything in desktop 4! As easy as that!