You can install Xfce by issuing sudo apt-get install xfce4
.
If you have a working internet connection during installation, you do not need to download all CDs. The first one or even the netboot CD is enough. During installation you can chose to install a desktop environment (per default GNOME); or before starting the actual installation watch through the presented menus (just after booting the installer), you'll find alternate desktop environments to select from.