$X$ is the space of all real bounded sequences, which can be equipped with the supremum norm, defined by $\Vert x\Vert=\sup\{\vert x_k\vert\;\,k\in\mathbb{N}\}$.
It is not difficult to see that $\Vert . \Vert$ is indeed a norm. Hence one defines a distance on $X$ by setting, for all $(x,y)\in X^2$ : $d(x,y)=\Vert x-y\Vert$.
For your followup question, $X$ is not finite dimensional, hence the Heine-Borel proposition doesn't hold (by Riesz theorem), but this can seen directly :
Consider de closed unit ball $B=\{x\in X;\,\Vert x\Vert=1\}$. Let $x^{(k)}\in B$ defined by $\forall n\in\mathbb{N},\,x^{k}_n=\delta_{k,n}$ (Kronecker symbol, equal to 1 if $k=n$ and $0$ otherwise).
For $k\neq \ell$, we have $\Vert x^{k}-x^{\ell}\Vert=1$, so that the sequence $(x^{k})_{k\ge0}$ doesn't have any convergent subsequence.