If all the connection you have to your linux server is a text based putty session and you need to work on a graphical interface you can still do it by redirecting your display to your windows machine.
We can use xming.
Please refer for more information "http://en.wikipedia.org/wiki/Xming".
You will have to download the xming on your windows machine and install it.
We need to use putty to connect to linux using SSH.
In the putty options on right hand side select X11
Select X11 forwarding
X display location enter :0.0
Now login to the Linux server
enable xhost permissons by running xhost +
The set the display to your work station
You can run your GUI now. To test run xclock