Now that Java is doing its sweet thing on the Raspberry Pi, and before connecting a display to the Raspberry Pi, let's use the host machine, i.e., my Windows laptop, to display the desktop of the Raspberry Pi.
1. Get http://sourceforge.net/projects/xming/ and start it with the command below, so that the Raspberry Pi desktop will take over a small part of your screen real estate:
"C:\Program Files (x86)\Xming\Xming.exe" :0 -clipboard -screen 0 700x500+125+100@1
At this point, Xming should be started. It provides an empty desktop screen into which Putty will pass the Raspberry Pi desktop.
2. Start the Raspberry Pi and make sure you can connect to it from your host machine (otherwise there's no point in using Putty in the first place, since it exists as an SSH client in this context).
3. Start up Putty. Connect to the Raspberry Pi using the IP of the Raspberry Pi (e.g., 169.254.40.30 in my case). Before making the connection, go to Connection/SSH/X11 in Putty and then put a checkmark next to the "Enable X11 forwarding" checkbox.
4. Now you see the Raspberry Pi login screen in Putty and you can use pi/raspberry, by default, to login.
5. The final step is to type the magical incantation 'startlxde' in the Raspberry Pi, i.e., in Putty, and press Enter. Some garbage appears in Putty and then Xming shows you your Raspberry Pi desktop.
Indeed, the Raspberry Pi has a desktop. (I was surprised, too.) Remember that the Raspberry Pi is just like any other computer, just smaller. (And cheaper, i.e., 30 EUR instead of 700 EUR that I paid for my HP ProBook laptop.) Now that you can see your desktop, you can work on connecting an external display device, e.g., a touch screen, to it. And a mouse and a keyboard.
All the wisdom imparted above comes from here: http://www.raspians.com/Knowledgebase/setting-up-a-remote-desktop-view-the-pi-on-your-windows-pc/.