Don't know if it's possible to install XFCE from the install disks (whenever I do an install it just gives me GNOME and KDE as an option) but once you install and reboot, you can install XFCE from repositories using yum/pirut. Just open up pirut, go to desktop environments, and you can't miss it.
(I prefer Fluxbox myself for my slow computer and KDE + Beryl for my faster system, and I've actually never used XFCE + Fedora. But it's doable.)
"What is freedom? To have the will to be responsible for one's self." - Stirner