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?
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).