Screensaver

How do I get xscreensaver to start automatically at KDE login without having to click on confirmation dialogs?

By "confirmation dialog," you probably mean the dialog that says xscreensaver is outdated and should be reinstalled for security reasons. Unfortunately, there is no workaround other than removing the message from the source code and recompile (which is what I did in Knoppix).

To autostart xscreensaver, you can place /usr/share/xscreensaver/xscreensaver-daemon.desktop into the Autostart folder ($HOME/.config/autostart) or enable it in the individual desktops "services" settings (which is quite dependent on which desktop you use).

Caution: ACPI settings tell xscreensaver to lock the screen during suspend. This is especially bad for accounts that have no valid passwords that would allow them to unlock. There is a variable in /etc/default/acpi-support called "LOCK_SCREEN" which can be commented out to prevent this.

Different Desktop

How do I get a different desktop environment installed and selectable from the login screen?

Being able to dynamically select a Desktop from the "login" screen depends on the display manager in use. Some of them (gdm, kdm) may let you chose a session type, whereas others (lightdm, xdm) don't have any options and will start whatever is the system default.

Login Manager

How can I change the login manager?

Although simply installing a display manager like kdm or lxdm will present a dialog letting you choose the desired option, the file /etc/X11/default-display-manager contains the display manager shown by default for Xorg. You can manually edit the file and enter the location to a different *dm there.