You have several choices to make.
If you are using Panther (Mac OS 10.3 or less) go to http://www.apple.com/support/downloads/x11formacosx.html
If your using Tiger (Mac OS 10.4) see Apples support Doc http://docs.info.apple.com/article.html?artnum=301229
What if you can NOT find your Tiger (Mac OS 10.4) DVD?
You can always download it from this web site http://xanana.ucsc.edu/xtal/x11.html
Do not forget you also need to download and Install Apple's X11 SDK (also available at the above web site).
By default Mac OS X install X-11 in Applications / Utilities (aka- the utilities folder).