Requirements:
- A recent version of Raspbian (2012-09-18 or newer. May require additional steps on older versions or other distros.)
- Windows XP, Vista, or 7 on the Windows machine (haven't tried this with Windows 8 yet)
- Both the Pi and the Windows machine connected to the same local network
0. You need to know the IP address of your Raspberry Pi. It's possible to determine the IP address without having a display connected to your Pi, but to keep this simple I'm going to assume you have a display connected. Enter this command at the terminal prompt on the Pi:
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ip address show
(if you really don't like typing, just ip a will work)
Assuming you're not using wireless on the Pi, you want the address listed under eth0 right after inet. It will look something like this:
inet 192.168.1.12/24
In this case, the ip address is: 192.168.1.12
This will vary depending on your router and how your network is set up.
This is all you need to do on the Raspberry Pi -- there's no need to install anything else or change anything.
1. Download MobaXterm personal/home edition from:
http://mobaxterm.mobatek.net/download-home-edition.html
2. Extract the MobaXterm_Personal_6.0.exe file from the zip archive. I would recommend saving it to it's own folder because it creates a MobaXterm.ini file in the same folder as the exe file. You can save it to your Desktop, a flash drive, or wherever you want. The MobaXterm.ini file stores your settings.
3. Launch MobaXterm by double-clicking the MobaXterm_Personal_6.0 icon (there's no install process -- it runs straight from the exe).
4. In the MobaXterm window, click on Sessions -> New session.
5. In the Session settings window, it will say "Choose a session type..." Click on SSH.
On the SSH settings tab that shows after you click on SSH, enter the IP address for your Raspberry Pi from Step 0 above. Click OK.
5a. On Windows 7, you'll most likely have a window pop up and say:
"Windows Firewall has blocked some features of this program"
Name: Xwin
You'll need to click on Allow access (for private networks).
5b. On Windows XP, you'll most likely have a window pop up and say:
"Do you want to keep blocking this program?
Name: XWin"
You'll need to click on Unblock.
6. You should be back at the main MobaXterm window with a new tab showing the IP address of your Pi and [SSH]. Enter your username and password to login. The default on Raspbian is username pi, password raspberry
If all went well you should be at a command prompt: pi@raspberrypi ~$
7. To bring up the desktop, enter this command at the prompt:
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lxsession&
You can also launch applications separately without running the whole desktop. For example, try opening the text editor:
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leafpad&
(the & on the end launches the application in the background so you can continue using the terminal)
That should be it. Note that by default this is multi-window, so whenever you launch a new program it runs in a new window. In addition to the ability to show the "desktop" or various applications in their own windows, you also have the ability to drag/drop files to and from your Pi in the bottom left corner of the MobaXterm window.
What you're actually doing is forwarding X11 over an ssh tunnel to MobaXterm's X server, and using sftp for file transfers. But that sounds too complicated.
See the MobaXterm documentation for more info:
http://mobaxterm.mobatek.net/support/documentation.html
I think what's happening is the desktop is automatically restarting every time you close it. 
From what I've read in