You can install a desktop manager like those you've mentioned onto Windows. However, it will not provide a performance gain. In all likelihood, it will be slower than the native Windows environment.
These desktop managers use a completely different stack for interfacing with your graphics hardware and the OS kernel: X. Windows uses its own system. Aside from the fact that Windows currently doesn't allow a (simple, at least) way to switch out its window manager for an alternate, any programs that you run have to be built and linked with your desktop manager's APIs for it to work with it.
LXDE, XFCE, and other Linux-based desktop and window managers all use X under the hood, so you can swap out one desktop for another and still use all your X programs. If you want to install these on Windows, you will have to install an X stack on top of Windows, which will often either interface with the Windows desktop manager, or operate on top of it, independently. Then you can use an X desktop/window manager. Any Windows native programs that you run, however, will not know of X and so will not use this desktop manager. You can install other X programs on Windows and run them within it, however, but they likely won't perform as well as if you just installed Linux on the machine directly.
There will be no performance gain, at best, because you are running additional things on top of what Windows already provides, not supplanting one system for a lighter-weight one.
At worst, and most likely, you will experience a performance loss. The X stack implementations that are out there (of which I primarily am familiar with Cygwin/X) do not have full access to your graphics hardware. As desktop and windows managers these days are compositing, they often offload a lot of operations to your GPU. OpenGL support in X on Windows is limited, so everything will probably be handled via the CPU, which is slower.
I've personal experience with this, having recently tried this out by installing Cygwin/X and building Fluxbox to run on a Windows 7 machine. I ran it with a compositor, but it was much slower than Windows' native desktop manager for precisely this reason.