If you want to build your own ChessX or if you want to contribute to ChessX - first thing you will need is the latest source code for the project.
You can find it at https://github.com/Isarhamster/chessx (the code on sourceforge is not maintained anymore).
You can either download and unpack it a ZIP archive or checkout the complete code with git / Github Desktop.
If you simply want to build your own ChessX, both ways work equally well.
If you want to participate, you should prefer checking out the code with git / GitHub desktop. This allows sending me a Pull request after completing your tasks which is the easiest way to get a change into mainstream ChessX.