Efficient Remote Desktop On Headless System

I want to run X aware client applications, in a jail on my headless FreeNAS Mini displaying a desktop on my Windows computer running a X server. I have installed Xming on my Windows system but I don't know what to do in a FreeNAS jail. I know I'm done with this task when I see a KDE (or Gnome based) desktop on my windows PC and can run a GUI based package manager.