More on open source software
Using PuTTY (the best Windows SSH client going) and Xming (a free X Window server for Windows) enables you to log in from a Windows box to your Unix box, and then run an X session remotely. There are other ways of doing this as well (e.g., Cygwin/X), but this one is both neat and straightforward.
Install Xming from the website above it's a quick download and easy install. You'll need PuTTY as well, if for some reason you don't already have it.
Once Xming is installed, the quickest way to get going is to use the XLaunch wizard. Choose the "start a program" option, after which you can give the program you want to run (xterm is the most flexible option, as from an xterm you can launch other graphical programs). Click "Run Remote" to connect to a remote machine and run the xterm on that: You must select the "Using PuTTY" option, and then fill in the hostname and your login details. You shouldn't need to pass any other parameters in (as per the next screen) with a standard connection.
Hit Finish, and your connection should start. You now have graphical access to your remote Linux box. Be warned things may run very sluggishly, depending on the speed of your connection. You can choose to use compression during the XLaunch wizard, which may speed things up a little.
This is just the easy start option Xming is capable of many more complicated things as well. Check out the webpage for more information.