You have not said which version of PCLINUXOS you are using or what the specifications of your computer are.
But, I will assume that your are running 2009.2 fully upgraded on a typical desktop machine.
If so, go into the pclinux control center which is the icon on the lower left of the screen which looks like a blue circle with a crossed wrench and screwdriver over a field of black.
You want to go to PCC > hardware > set up the graphical server.
If it is not obvious to you from that point, come back and ask about whatever confuses you.
There are many of us here who will help you get up to speed.
One of the main questions will be what kind of video card you are using and what kind of monitor.