The X Window System is the GNU/Linux windowing environment, serving a similar function to MS-Windows in providing a graphical windowing interactive mouse point-and-click (WIMP) interface.
The first task in setting up the X Window System is to determine the type of your video controller chip. There are very many video controller chips available and when you purchase a PC with MS-Windows preinstalled someone has already done the hard work of making MS-Windows work with the particular video chip. Under Linux you will need to tune the configuration to get the X Window System functionally fully.
The X Window System, unlike MS-Windows, is a client-server architecture. You run an X Window System server somewhere (usually on your local host) to display onto your local host. You then run clients (such as word processors, Netscape, etc.) somewhere (usually your local host, but no necessarily) and have them display on through the server onto the display on your local host!
The freely available XFree86 is the default X Window System for most GNU/Linux systems. Version 4.1.0 is becoming an easily tuned system.
You will then need to run either xf86config (for a console-based interface) or XF86Setup (for a X Window System based interface) to create an appropriate /etc/X11/XF86Config file. If you are in luck, this will be straightforward. Below are sample configurations: