First of all, TeXMakerX is now TeXStudio. If you are still running TeXMakerX then it is advised that you upgrade to the latest version of TeXStudio.
Python for the fancy coloring schemes. You need to invoke the
-shell-escape option in order for LaTeX to allow Pygments to be used.
In TeXStudio, click on the following menu
Options > Configure TeXStudio > Commands
pdflatex -synctex=1 -interaction=nonstopmode %.tex
pdflatex -synctex=1 -interaction=nonstopmode --shell-escape %.tex
As mentioned by tohecz in comment, it is better to make a separate command for this in TeXStudio for security reasons. You can do this by clicking
Options > Configure TeXStudio > Build
and in the User Commands box, click +Add button and add a name for your command in the first cell, say
pdflatex -shell-escape and the command
pdflatex -synctex=1 -interaction=nonstopmode --shell-escape %.tex in the second cell.
You can then see the command listed in the menu
Tools > User
Click on the command to run.