[mvellon]

Your value of g, assuming it doesn't exactly match f, will be a line with a slope and intercept close, though not exactly that of f. Imagine then, two intersecting lines. The area in between the lines correspond to values in X that g misclassifies. The ratio between that area and that bounded by the region [-1,-1]x[1,1] (area 4) will be the probability of error. Alas, calculating the area between the lines is ugly. The problem would have been much simpler if the domain for X had been points inside the circle at (0,0) with radius 1.