As mc4man says, it's a symbolic link to the /usr/bin folder. If you look at the detailed listing:

$ ls -l X*
-rwsr-sr-x 1 root root   10184 Mar 22  2012 X
lrwxrwxrwx 1 root root       1 Jul 27 16:13 X11 -> .
You see that the symbolic link points to the current directory. If you're bored one day, you can try following it for a while. I don't think you'll find the end, though

At any rate, like others say, it's not worth messing with.