Which Linux distro do you want it to run under? It's usually much easier to install the packages rather than build and configure it from sources. If you want to build the latest stuff, have a look at
http://www.linuxquestions.org/questi...=400042&page=2 where some other people here have built and installed Xorg X11R7.0.
Getting it working under windows isn't too hard especially if you've already used something like cygwin. Just download the X bz2 files from a mirror and use the cygwin installer to add them to your system. There's a startup script provided for X which I've added to my startup folder. I also use SSH (with Putty) to encrypt the VNC connection back to the linux box.
Sorry that's all very generic advice, it's mostly because it's been a while since I've set it up fresh. It just keeps working, which is good...