Sometimes you may want to run applications that are on the linux machines, such as xemacs or matlab remotely on your windows machine, in which case it is nice to be able to use the graphics. The XServer we recommend is Cygwin. Click on the 'Install or Update Now' button at the bottom of the page. The defaults should be fine through the setup, and it shouldn't matter which site you choose to download from. Note that the default is to install just the base package of Cygwin, so you will need to go through and click the additional packages you want. You will definitely want the X11 folder (you can deselect individual packages you don't want, such as xemacs, if you are not interested in being able to run these locally).
You are now ready to go. Go to Start menu -> Cygwin-X -> XWin Server
A terminal will open up, and you can now connect to a machine by typing 'ssh -Y -l username herbie.shadlen.org' or whichever machine you want to connect to. The -Y means that tunneling is on, so now if you type 'xclock &' a graphical clock should show up on your desktop. Have fun.