If you have it installed, and you're running X, then you just run yumex.
If you're ssh'ing in from a windows box, you're going to need some kind of X environment under windows to use it. Cygwin (www.cygwin.com) is a good open source system you can try out, if you use that, you can open up a shell, and from the there run:
ssh -X <your server>
that will enable X11 forwarding, and then just run yumex from there. The ssh session will, if xauth is installed, tunnel the X session back to your X desktop (windowmaker last time I checked) when you run: yumex