Unfortunately XFCE is not on the DVD so the only way it can be installed is after installation when the online repositories are configured. All you have to do is install the package task-xfce If you do the initial install with just LXDE or IceWM desktop you can avoid installing KDE or Gnome. Select 'Custom' when it asks which desktop you want.
Installing from the Dual CD or boot.iso is exactly the same as installing from the DVD so long as you declare an additional online media when prompted. It still does not permit you to install XFCE even though it is available in the online repo.
If you wanted to make your own XFCE LiveCD instructions are here
http://wiki.mandriva.com/en/DrakliveThe German Mandriva user group usually creates an XFCE LiveCD of Mandriva. I do not know if anyone intends to do it for Mageia 1?