http://www.darwinfo.org and http://www.mrcla.com/XonX have good primers.
Basically you go to Xfree's website, download binaries or source, and then follow the directions for installing.

You need to be pretty comfortable with the terminal and BSD, and you also need the developer tools from apple (I think. But even if you don't, Xfree won't be very useful unless you have the dev tools so you can compile other apps for it).

Once you have it installed, type "startx" from a console login (ie: login as >console from the loginwindow, then login again as yourself...

Or if you get the Xmaster aqua patch, you can run them side by side.

Read up on this at the sites I mentioned. Perhaps some posts around here will be helpful, too.