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I'm not sure how to be more clear. If I install icewm, or xfce, then I have a WM. I don't need to install anything else (except x11) to run the gui.
Well, Xfce depends on GTK, for example. So I'm not sure what you mean by it not needing anything else. You need to install Xfce along with all of its dependencies, just as with any other software.
ROX and Xfce are both fairly modular and have similar dependencies. They also tend to interoperate well, as lots of people use components from both. Many of the ROX applications require Python, though.
is ROX something that runs on top of another WM?
ROX is mainly a particular style of application. It favours small programs that are used together, often through drag-and-drop. The filer (ROX-Filer) provides the basic infrastructure of the desktop (rather as the shell does for a command-line user).
ROX has a window manager (OroboROX), but it works fine with most other window managers too.