You will first need a copy of Xming and PuTTY.
- As of 11/6/2012, Xming can be downloaded from: Xming X Server for Windows
- As of 11/6/2012, PuTTY can be downloaded from: PuTTY Download Page
PuTTY doesn't have an installer, so make sure you know where you downloaded to. It is just an executable and you will need it each time you run PuTTY. You may use other SSH clients, however, you will need to figure out how to turn X11 tunneling on.