Hmmm, maybe change * to *.rpm would be safer.
rpm -Uvh *.rpm
Please read the information at http://clevername.homeip.net/xfce4/.
If rpm -Uvh *.rpm does not work (compain about dependency),
do it one by one exactly as the list:
rpm -Uvh libxfce4util-4.0.0-1mdk.i586.rpm
(1 to 6 MUST be in order, the rest are more relaxed)