Running X on a virtual dedicated server

As many of you know, I like my GUI tools. And I just purchased a
virtual server from GoDaddy, but when I try to run an X app I get the
generic error of cannot connect to X server. If I look at ps -A I see
xinted running. If I try to startx I get
xauth: creating new authority file /root/.serverauth.5195 (or some
randum number)
xinit: No such file or directory (errno 2): no server "X" in PATH

Use the -- option, or make sure that /usr/bin is in your path and that
"X" is a program or link to the right type of server for your display.
Possible server names include:

    Xorg    X.Org displays

xinit: Server error.
Couldnt get a file descriptor referring to the console

Any suggestions on how I can get my GUI up?
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