the last time i used rox with a pinboard (what rox calls its desktop option) it was not based on a desktop folder. so you have a folder with ff, but rox used a list of shortcuts- more like an .ini file. despite a folder not defining the pinboard, it should be possible to create a pinboard file (and thus, a desktop) based on the contents of any folder.
you could do that with a script (i'm surprised no one ever wrote one) but to really make it like a desktop in larger desktop environments, you'd need to run that script as a daemon, and have it read the contents of the desktop periodically. (would you need to restart the pinboard periodically? that's messy.) other than that, create your desktop by dragging icons from rox to the desktop. it's still more friendly than xtdesk.