If you want to install version 12.04, you must prepare the desktop environent and gnome enovironmentm, then you just need to use ppa to install the x2go server. That's all.
And please refer the ovh document to set the correct session type to the detail customer type
But,if you hope to install the old version ubuntu, like 10.04, ignore to install gnome-session-fallback, and just select the standard gnome, then user can login to the desktop by the x2go successfuly.