Is it that you want to keep xfce4 and have icons provided by ROX or do you
want ROX to replace xfce4?
(I haven't tried out ROX ( I have used roxfiler though a bit ) because I didn't really liked the
fact that they really want you to use zero install to install it.)
In the latter case, you should edit your .xinitrc file in your homedir so that you fire up
rox. maybe something like
or replace rox with the program you want to run when you type startx at the command line
If it's that you just want to be able to use icons in xfce4 you can check out idesk
It's a program that will provide icons on your desktop. If you use a windowmanager as a desktopenviroment but still want to be able to have icons, this could be
what you're looking for.
install it and then in your .xinitrc file type
or something like that
I don't really know how you would do to use icons in xfce4 provided by ROX