In your registry you should have this key, with "shell" having a value of explorer.exe
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon] "Shell"="NALWIN32.exe"
To change xlobby to this just make the "Shell"="c:\path\xlobby.exe"
Do this at your own risk however... I have done this a bunch of times with a different program at work, but never with xlobby... don't see how it would be a problem though.
You will probably want to make some kind of link in xlobby that loads explorer.exe though in case you need to get back in there for some reason
