Yes, there are free X servers for Windows. I've used StarNet's X-Win32 trial for years now. There's also an open-source one at http://x.cygwin.com/ which I haven't used, but looks to have the right features. Oh, and use PuTTY on the Windows machine as a secure shell client. It has X forwarding built in (though not defaulted to on) that I've never had a problem with.

On the Unix machine, all you need are the X clients (that is, the programs that will be displayed via X: xlogo, xeyes, xterm, xcalc, etc.) and the client libraries. You don't have to have any X server software at all.

I'm personally of the opinion that all of the "environment"s suck. Just make sure you have all those client libraries installed and you should have no problem with compatibility. If you run an X server on your Windows machine, it doesn't really make sense to have one of those silly environments running at all anyway.