In order to do that you need to have an XServer running in windows.
The way X fowarding on SSH works is it forwards the X11 calls across the network. Windows doesn't understand X11 out of the box. Check out Cygwin/X
. It is a free XServer for windows. There are others out there as well, some that might be free, others that aren't, but I have only ever used Cygwin/X.