No problem. First you have to enable compositing in xorg. Add the following to your xorg.conf file (assuming you have an nvidia video card.):
Option "Composite" "Enable"
Add the following to the devices section of your xorg.conf file:
Option "RenderAccel" "true"
Option "AllowGLXWithComposite" "true"
The first section needs to be added whether you have an nvidia or ATI card. The second section is only for nvidia cards.
Make sure you have the proper drivers installed.
Once you have added these lines, restart X (Ctrl+Alt+Backspace), then go in to XFCE. Find the settings manager, then click "Window Manager Tweaks". Under the compositing tab, you need to click "enable compositing" (or something like that). Then you can change your various settings the way you like them.
Good luck. Let me know if it doesnt' work. I have an nvidia card, so ATI you'll have to do a little searching.