To make this as quick and as painless as possible I will list the command required to get this installed. So open up a terminal as user root.
Type the following command:
yum -y install freenx xorg-x11-fonts-misc
** the above command will pull in all package dependencies and make sure all required files are installed in order to get freenx up and running. **
Now if you are running Fedora 9 / 10 you will have to temporarily disable selinux or the connection will fail.