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How I did it: You can buy them at Best Buy, Fred Meyer, whatever. Make sure to buy the entire seasons, not the special movie collections. The entire seasons allow you to see every episode of the show in sequence rather than just the smaller collections that deal with one particular element and do not follow the show's chronological order.
Lessons & tips: While it is a good idea to buy the smaller collections that contain only episodes dealing with a particular part of the series, the X-Files is best experienced as a whole.
Resources: There are tons of online guides to the show, or analyses of the relationships and plot elements that can help make some sense out of the more convoluted episodes.