Installing KDE is not that difficult. Just get the packages (and QT!) and install in correct order. Of course, me being in Debian, all it takes is to type "apt-get install kde"

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As for the fonts. You can use font-antialiasing in KDE. And GeForce supports it. You need XFree 4.x. Just make sure you have freetype (so you can use TrueType fonts) installed. Font-AA makes a BIG difference IMO! I'm running a nice AA'ed, alpha-blended KDE 2.2.2 right now

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EDIT: As for the mouse-wheel... Does it work elsewhere? Here is my settings in Xf86Config that enables mouse-wheel:
Section "InputDevice"
Identifier "Configured Mouse"
Driver "mouse"
Option "CorePointer"
Option "Device" "/dev/psaux"
Option "Protocol" "IMPS/2"
Option "Emulate3Buttons" "true"
Option "Buttons" "5"
Option "ZAxisMapping" "4 5"
EndSection