I think that the xffm file browser that comes with Xfce has Samba built into it.
If you do not want to use that, or it does not work, then you will need to install some samba client. Gnome has one built into it, so that is why it works on Gnome, and not Xfce. Xfce is a light-weight window manager, and does not have all the extra features that Gnome/KDE do.
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