You might also try using VNC Server/Viewer, by AT&T. Do a yahoo or google search on "VNC". It's free, lightweight, and much faster than Exceed. It also has the advantage of being able to be used over a 56K dialup connection, if necessary.
Originally posted by jharris
You need to get an X server for Windows, something like Exceed (have a search on download.com for freebies) is good. The way my system works at home is I have an X server running on Windows then I telnet into my server. The server's DISPLAY environment is set to point to my Windows box (export DISPLAY=windowsBox:0) so if I start any X applications they pop-up on my Windows desktop. You can, if you want, run XDM (or gdm/kdm) on your linux box and get a proper X logon screen from Windows.
I prefer my method as I get seamless integration with Windows as any X-apps just look like normal Windows program, no need to switch to my X desktop to get to them.