WPF applications each have their own render thread, and they render into a DirectX Surface. This is true on XP and on Windows Vista.
On XP, the WPF apps display is just like any other DirectX applications display. Just right to the desktop.
The Desktop Window Manager (DWM) basically is its own WPF application, and thus has a surface it renders to. However, it gathers shared surfaces that GDI and DirectX applications themselves render to, and composites those as bitmaps to form the desktop. (BTW, it's GDI surfaces, not GDI+ surfaces.)
BTW, I talk a fair bit about this general window redirection mechanism for the DWM in this blog posting.