XFCE is not a linux distro. It is a desktop environment for linux. You can add it to most distro's replacing the heavier one after you install. Some distro's use it by default.
A P4 should be able to handle most distro's, even with heavy windows and file mangers and desktop environments like gnome or kde, if it has enough memory.
Xubuntu is based on the xfce de. You could try the live cd on the machine, bearing in mind that it will be faster after a full install.
Here is alist of XFCE based distro's:
http://www.xfce.org/download/distros
A Desktop Environment usually has a bundle of applications that are woven together to interact with each other. Typically a DM has a dock or panel system tray and perhaps the ability to control the desktop and icons. A file manager may be part of the package.
Desktop Environments have an included Windows Manager.
All this added ability impacts performance negatively. Though the trade off may be worth it, depending on the machine.
Windows managers basically just draw the windows, and handle the input from devices like keyboards. You can then add file mangers and panels, docks and desktop controls as you will.
Enlightenment, Afterstep, FVWM, Fluxbox, IceWM, OpenBox and Joe's Windows Manger are some light weight Windows Managers.
Rox-Filer, PCMan-File manager, and Xfe are some light weight file managers.
Lightweight X11 Desktop Environment and XFCE are two lighter weight Desktop Environment's I am aware of, but there may be more.
You can take any distro, and add the windows manger, file manager or desktop manger of your choice.
Having said that, some disto's come with all this already put together so you don't have to play jigsaw puzzle with your distro.
My favorite for performance, especialy on old machines is the AntiX version of Mepis. It is debian based, so you have lots of apps and ease of updates/upgrades. It can run on as low as 64mb ram. It comes with ICE Windows Manger and Fluxbox both, which you switch back and forth easily. It has rox filer, and maybe pcman fm, though I may have added that.
I have it installed on an old PII 483mhz 192ram machine I let my daughter use. I added opera and banshee, though banshee is a bit slow, xmms plays mp3's well. Flash video stinks, but video from a DVD or a file is fair.
http://antix.mepis.org/index.php/Main_Pa…
http://profiles.yahoo.com/blog/XIB7CU3OM…
Puppylinux has Joe's Window Manger, and the Rox-filer pinboard. I have steered away from puppy as it so difficult to add new apps and update. Though before antix, it was the best choice for a slow machine. it still shines as a portable os installed to a flash drive.
Damn Small Linux also uses Joe's Window's Manager, but for reason's hard to specify, I don't prefer it.
Comment: XFCE based distro's are a fine choice. Also taking a distro such as Debian and adding xfce is a good option as well. There are even lighter alternatives to xfce, such as the antix versions of mepis I mentioned. Linux is different than Windows. It takes some getting use too. Switching to Linux is less of an upgrade and more of a sideways move.