I exclusively use
[link|http://www.cygwin.com/|Cygwin] and [link|http://cygwin.com/xfree/|Cygwin/X] for X-Display.
Nearly ZERO effort required to properly make it work with Linux.
Cygwin is Extrememly AWESOME. Free and it Works. Works well. Plus it give you UNIX on Windows... well sorta.
Anywho, all you need to start is [link|http://cygwin.com/setup.exe|setup.exe].
I usually download everything into an install Dir and then really install from there.