Install the following package dependencies first (Debian/Ubuntu based distros):

sudo apt-get install build-essential libc6-dev \
                     qt4-dev-tools libqt4-dev libqt4-network git \
                     libqt4-svg libqtcore4 libqtgui4 \
                     libldap2-dev libssh-dev libxpm-dev libcups2-dev \
                     libgcc1 libldap-2.4-2 libssh-4 libstdc++6 libx11-dev

Note: Try to use at least libssh >= v0.4.7.

Note #2: Recommended package on the client-side: pulseaudio

Run the following commands as a regular, non-root user. You'll need the root password to install them.

You can either install it directly via the package manager, like when using APT:

apt install nxproxy

OR

Install nxproxy from source:

$ mkdir ~/x2go && cd ~/x2go
$ git clone 	git://code.x2go.org/nx-libs.git
$ cd nx-libs/nxproxy
$ autoconf 
$ ./configure --prefix=/usr
$ make -j 4
$ sudo make install

$ git clone git://code.x2go.org/x2goclient
$ cd x2goclient
$ export PREFIX=/usr
$ make -j 4
$ sudo make install_client