http://www.larsavery.com/blog/how-to-install-sshd-secure-shell-server-on-windows-using-cygwin/
And install everything under x11 tap. That might take a while to install X11.
Next, open cygwin terminal, before use ssh to remote connect, run xwin:
$ xwin -multiwindow &
You can test it with
$ xterm &
to see if it works.
After running xwin stand alone, you can use ssh to connect to linux machine:
ssh -Y [remote-host]
The -Y means you are allowing X11Forward to your server host (such as the Windows PC you are sitting in front of). After successful connection, try
$ firefox &
to see if Firefox at the Linux machine can show up in your server host.
