There are ore live CD images for kde and gnome, but not for lxde or xfce. To install those install using the DVD.
During the DVD install you can choose kde gnome or lxde, as well as other desktops such as black box, open box and others, but not xfce.
After install xfce can be added by installing the package task-xfce . You can install any other desktop you please in a similar way.
To get non free codecs etc after install open the mageia control centre>software>software sources and enable the 'tainted' and ,tainted updates, repositories. Also add the non free and ,non free update repository to get packages such as non free video drivers.
After enabling the repositories use the software update GUI to update your installed packages and you will upgrade to the 'tainted, versions.
Running the video driver setup GUI will allow you to automatically download and install a non free video driver.
See the wiki
https://wiki.mageia.org/en/Desktop_environments