Hi,
You can do a similar (and better) job running X remote sessions from your Win box. FOr this you have to install an X server on your computer (use XWin32, Exceed, Reflection from WRQ, etc, etc). Then telnet or ssh into the Linux box and do a xhost + (or xhost +<your IP address>), afterwards you can run any X programms. I used to have a gnome and kde session simultaneoulsy from the same Linux server on my Win2k box.
Try it, it works. Of course that you can find X-Remote HowTo a.s.o - just search google for this.