I want to have an test cluster on my desktop machine, composed by 3 windows servers 2008 R2.
I wonder what would be the best path to take: install ESXi 4 virtual machine on the VMware Workstation, and than install all the virtual machines over the ESXi.
versus
Install the virtual machines directly in the VMware Workstation, and not use ESXi.
Your first suggestion makes no sense at all, just use Workstation.
I've never set up a cluster this way but I have run a couple of Windows 2008 Server VM's within ESXi on Workstation just to see if it would work. Even with a pretty decent workstation (SSD drives, loads of RAM, Core i7 CPU) the Server VM's were functional but not really usable.
By comparison running similar server VM's concurrently directly on Workstation is perfectly usable just make sure you have a lot of RAM and a fast disk (or even better, disks).