Setting them properly means that since the compiler or the linker can't seem to find what they're looking for, you will need to set command line flags in the CFLAGS/LDFLAGS options using either cgo directives, or environment variables.
If you want more help, a first good step would be to find where the X11 headers and library were installed to and possibly where your compiler is.
Can you compile the C code on your windows machine? If you can, compare the commands and results to what the go tool is doing (by passing the -x flag to go build/install/run/test).