Open up

echo $DISPLAY                                # you'll be needing this value 3 lines below
sudo -i                                      # or "su -" on older linuxes
xauth merge ~<YourUserNameHere>/.Xauthority  # use your own username here with ~ in front
export DISPLAY=<ValueGatheredBefore>         # use the value of user's DISPLAY from 3 lines before

Source: http://alien.slackbook.org/dokuwiki/doku.php?id=linux:kernelbuilding

Real Life Sample:

My machine is called DC266; my user is jslack and looks like that: <(^_^)> in a terminal :)

 <(^_^)> ~ echo $DISPLAY
 :0.0

 <(^_^)> ~ sudo -i
 Password:

 root@DC266:~# 

 root@DC266:~# xauth merge ~jslack/.Xauthority
 xauth:  creating new authority file /root/.Xauthority

 root@DC266:~# export DISPLAY=:0.0
 root@DC266:~# echo $DISPLAY      
 :0.0