I tried to run a PyQt4 app, but got following error:
cannot connect to X server :0.0
It seems i need to install the "X server", what's this? How to install it easily? I am using Linode VPS.
X-server(xf86,xorg etc) is graphical subsystem for unix-like operating systems. On ubunty you can install xorg with command
sudo apt-get install xorg
If you use another os you should use it's package management system, e.g. yum on centos, redhat etc.
EDIT: Since you need GUI next you could want to do is install graphical desktop environment( i propose xfce), desktop manager(i think it will be installed with desktop environment, but just in case there are xdm, gdm, kdm). This will allow you to start X-server on machine startup and use graphical login. I don't know exactly what tools Linode gives you to access server. If you have something like IP-KVM that's all you need. If not, you'll have to install VNC-server, set it up and start it. Then you will be able to connect to your Linode server with VNC-client and log into your machine in graphic mode.