This threw me for a loop, too. Compiz has a very small amount of mostly outdated documentation. There are many plugins that need to be enabled in CompizConfig Settings Manager (ccsm) in order to get basic functionality. The key one that you're missing is the "Window Decoration" plugin.
What I didn't understand is that compiz is simply a compositing manager and requires a "window decorator," along with several other plugins, to provide full window manager functionality.
I also use XFCE, and I chose to use the emerald window decorator. There are also gtk-window-decorator and kde-window-decorator. I chose emerald because it is more themeable than gtk-window-decorator. Obviously since I use XFCE, I didn't choose kde-window-decorator.
Down to business.
Launch ccsm and enable the following plugins:
all plugins in "Image Loading" category (other plugins may depend on those)
Mouse position polling
Application Switcher, Ring Switcher, Shift Switcher, or Static Application Switcher
Now to fix the fact that you still won't see any window borders:
Go into the Window Decoration plugin and enter the path to either the emerald or gtk-window-decorator binary in the "Command" field.
This will give you a basic setup... start playing with the crazy effects!