How to test my FIX client? Is there a fake FIX exchange out there that I can use?

Have you tried FIXimulator? http://code.google.com/p/fiximulator/ It doesn't exactly work as an exchange, but you can establish sessions, receive orders and execute (auto execution as well possible) them. Check it out.

Mini-FIX can be used for GUI based

QuickFix example application programs "executor" and "ordermatch" should be helpful. Code is simple, you can even enhance it to suit your needs for the exchange functionality. Good thing about these solutions is that different versions of FIX are supported thought FIX 4.2 is the most widely accepted.

check the quickFIX distribution. here: http://www.quickfixengine.org/quickfix/doc/html/examples.html you can find the "executor".

Is a sample server that simply fills every limit order that it receives.

Also you can find "ordermatch", which is a c++ server that will match and execute limit orders.