hmm if you click the icon of putty, you can do a "view log". check if the server accepted the X11 forwarding request. if it did... i don't know, maybe the X server on windows isn't configured or something, I had this setup once but windows didn't live very long because I formatted it to install linux :P I configured Xwin32 like this (start XConfig on windows):
tab: settings:
----------------------------------
sessions deleted all sessions
window single, fullscreen; backing store when requested
display the available IP address (no proxy); display number 0
security all empty
the others aren't very important I think. then start the X server (X-Win32). if everything is allright, you'll get a fullscreen empty X (black/white pattern with mouse cross cursor). now start putty, enter IP, select SSH protocol and click "tunnels" at the left and check the "enable X11 forwarding". view the log to be sure the server accepted X11 forwarding, and start some X application (try gnome-xbill
) you should be able to start a window manager like this too (not using startx, I just typed 'blackbox' and it came up)
good luck!
-= iluvatar =-
this is really fast as your linux pc won't have to run X, and there's very low network traffic... It's even possible to get KDE running remote like this 
