Maybe I must install X first or something else?
I'm not familiar with tiny core, but I'd hope it would not let you install openbox unless X were there already, since a window manager is useless without the X server. If you've seen any GUI on it at all, methinks you have X installed.
In that case, the problem is probably that you don't have X running ;). Generally, to get it to start a particular window manager, you need create a
$HOME/.Xclients...hopefully tiny core follows this pattern. Have a look at my answer here from yesterday and replace
openbox in the example Xclients file. The point of that file it is the last of a series the X server runs at start-up. Unfortunately, where that file should be and what it should be called may vary, but I mention the most common places in that answer.