WMGLOBAL: Some global configuration options.
WMRootMenu: the default root menu. If you use the text-based menus, you can edit this by hand. If you use the graphical configuration utility, you can't.
WMState: holds Dock settings.
WMWindowAttributes: where application-specific configurations are managed. This is best managed by an application's Title Bar Attributes menu option.
WindowMaker: the main configuration file which controls options such as key bindings, fonts, pixmaps and focus modes.
Library: themes, backgrounds, icons, sounds, etc.
Icons: just another place to store icons, etc.