I'm running Centos, and I'm having a lot of problems getting free nx to work.

I followed a guide here

http://wiki.centos.org/HowTos/FreeNX

I set it all up but I get the following errors when I test the setup

----> Testing your nxserver configuration ...
Warning: Could not find nxdesktop in /usr/bin. RDP sessions won't work.
Warning: Could not find nxviewer in /usr/bin. VNC sessions won't work.
Warning: Invalid value "APPLICATION_LIBRARY_PRELOAD=/usr/lib/libX11.so.6.2:/usr/lib/libXext.so.6.4:/usr/lib/libXcomp.so.2:/usr/lib/libXcompext.so:/usr/lib/libXrender.so.1.2". /usr/lib/libX11.so.6.2 could not be found. Users will not be able to run a single application in non-rootless mode.
Warning: "/usr/lib/cups/backend/nxipp" is not executable.
         Users will not be able to enable printing.
Warning: "/usr/lib/cups/backend/smb" is not executable.
         Users will not be able to enable printing.
Warning: Invalid value "DEFAULT_X_SESSION=/etc/X11/xdm/Xsession"
         Users might not be able to request a default X session.
Warning: Invalid value "COMMAND_START_CDE=cdwm"
         Users will not be able to request a CDE session.
Warning: Invalid value "COMMAND_SMBMOUNT=smbmount". You'll not be able to use SAMBA. 
Warning: Invalid value "COMMAND_SMBUMOUNT=smbumount". You'll not be able to use SAMBA.
Error: Could not find 1.5.0 or 2.[01].0 or 3.[01].0 version string in nxagent. NX 1.5.0 or 2.[01].0 or 3.[012].0 backend is needed for this version of FreeNX.

  Warnings occured during config check.
  To enable these features please correct the configuration file.

<---- done

----> Testing your nxserver connection ...
The authenticity of host '127.0.0.1 (127.0.0.1)' can't be established.
RSA key fingerprint is 27:ca:8a:2d:0e:22:9e:cd:e7:16:4f:2d:9b:1e:85:7c.
Are you sure you want to continue connecting (yes/no)?
Warning: Permanently added '127.0.0.1' (RSA) to the list of known hosts.
HELLO NXSERVER - Version 3.2.0-73 OS (GPL, using backend: not detected)
NX> 105 quit
Quit
NX> 999 Bye
<--- done

[root@li140-16 log]# clear

[root@li140-16 log]# nxsetup --test

----> Testing your nxserver configuration ...
Warning: Could not find nxdesktop in /usr/bin. RDP sessions won't work.
Warning: Could not find nxviewer in /usr/bin. VNC sessions won't work.
Warning: Invalid value "APPLICATION_LIBRARY_PRELOAD=/usr/lib/libX11.so.6.2:/usr/lib/libXext.so.6.4:/usr/lib/libXcomp.so.2:/usr/lib/libXcompext.so:/usr/lib/libXrender.so.1.2". /usr/lib/libX11.so.6.2 could not be found. Users will not be able to run a single application in non-rootless mode.
Warning: "/usr/lib/cups/backend/nxipp" is not executable.
         Users will not be able to enable printing.
Warning: "/usr/lib/cups/backend/smb" is not executable.
         Users will not be able to enable printing.
Warning: Invalid value "DEFAULT_X_SESSION=/etc/X11/xdm/Xsession"
         Users might not be able to request a default X session.
Warning: Invalid value "COMMAND_START_CDE=cdwm"
         Users will not be able to request a CDE session.
Warning: Invalid value "COMMAND_SMBMOUNT=smbmount". You'll not be able to use SAMBA. 
Warning: Invalid value "COMMAND_SMBUMOUNT=smbumount". You'll not be able to use SAMBA.
Error: Could not find 1.5.0 or 2.[01].0 or 3.[01].0 version string in nxagent. NX 1.5.0 or 2.[01].0 or 3.[012].0 backend is needed for this version of FreeNX.

  Warnings occured during config check.
  To enable these features please correct the configuration file.

<---- done

----> Testing your nxserver connection ...
HELLO NXSERVER - Version 3.2.0-73 OS (GPL, using backend: not detected)
<--- done

I do't understand where I went wrong. Can anyone help please?

It seems that you don't have the nxlibs installed. That is the "backend" nxsetup is complaining about.
See if you have something in /usr/NX/lib. If you don't, you need the nxlibs.
You can compile them, of course, but getting a precompiled package for your distro is vastly preferable. I don't use Gentoo so I can't help you at this point.
To avoid the other messages, you should edit the file node.conf, found either at /etc/nxserver/ or /usr/NX/etc/ .
For example, I have patched mine to say "DEFAULT_X_SESSION=/etc/X11/xinit/xinitrc" which is where xinitrc is located in my system.

Hth.

Have you tried the official NX software? Last time I checked, FreeNX wasn't very good, and hadn't been updated in ages.