1) Add Cygwin/X to your installation by downloading the latest
setup.exe, running setup, and selecting the 'xinit' package from the 'X11' category. Also make sure you include ssh (part of openssl)
2) Run Cygwin
3) xinit
4) Then from the new xterm that should have opened:
ssh -Y yourusername@yourUbuntuServer
5) gnome-session
(Assumes you are using gnome)