Start it in a terminal rox -pinboard=mypinboard
You may have to kill xfdesktop first.
Once you have Rox running just drag and drop the apps/folders you want on the desktop. Keep in mind that the desktop Rox shows is not the same desktop Gnome/KDE show.
Keeping that in mind the folders I have in Rox are:
Home
Desktop (the real desktop)
Rox Apps
Doc (usr/share/doc)
.Trash
To turn off the pinboard again, set the name to an empty string:
$ rox --pinboard=
Here is the page in the manual :
ROX-Filer User Manual