Signature FTW.This needs a guide or something!
I think you're installing the wrong thing. In the future, when you post threads like this, please provide details. What kind of Mac, what version of OS X, etc.
If you're using Tiger, you don't want the version of X11 that's on Apple's website. What you do is put the Tiger system restore or install DVD into the drive. Open it in Finder. Scroll down to the bottom, where you will see an "optional installs" package. Run this (not the one that says developer tools). When you get to the part that asks you what you want to install, select X11.app, and let it finish. GIMP should work then.
If you have any more trouble, please post back.