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I'm afraid I don't know how to test X11 on Windows, but in the meantime I do know how you can get the images Sage is making.  When you run the plot command without specifying a filename to save the plot, Sage generates the file in a temporary location which is deleted when you close the Sage session.  That temporary location is stored in the variable SAGE_TMP, so you can type
sage: SAGE_TMP
to see the temporary location.
By the way, temporary files are named by the function tmp_filename(), and you can call that function to see where these files are stored.  A related command is tmp_dir(), whose output you will see is similar to tmp_filename().
Alternately, you can simply tell Sage to save the plot in some convenient location:
sage: P = plot(f,(x,0,3))
sage: P.save('sageplot.png')
 Copyright Sage, 2010. Some rights reserved under creative commons license. Content on this site is licensed under a Creative Commons Attribution Share Alike 3.0 license.
 
                
                Copyright Sage, 2010. Some rights reserved under creative commons license. Content on this site is licensed under a Creative Commons Attribution Share Alike 3.0 license.