To install it on Ubuntu 12.04, use the following command:
sudo apt-get install xfce4
After installation, you are going to be able to choose your desktop enviroment the next time you try to log in.
Another option is to download and install Xubuntu, a Linux operating system based on Ubuntu that comes with Xfce by default.
Xubuntu 12.04 with Xfce 4.10