Ah, I have answered my own question. There were two problems:

The first was that I was using version 3.01-2 of the client. I chose it because it was listed under "Stable" at the x2go.org web site. I replaced it with 3.01-4 and that worked more smoothly.

The second problem was related to DNS. On my Windows box I use Apple's Bonjour Print Services:

http://support.apple.com/kb/DL999

Which is an implementation of zeroconf that interoperates with Ubuntu's avahi, so that when you're using DHCP with changing IP addresses as I am instead of looking up the IP you can just type in servername.local. It works when pinging from the command line and when I'm using PuTTY but for some reason it doesn't work in the x2go client; when I entered the IP address of the server in the session settings I was then able to connect successfully.

So, sorry for the confusion. Thanks again for this wonderful piece of software, it will make things so much easier for me.

fw