Sometimes windows xp has an error where remote desktop will not work. You will receive various error messages stating than you cannot connect via mstsc
Error message: the terminal services activex control (mstscax.dll) does not match the version of the client shell
Fix #1. You may need to register the mstscax.dll. You can read how to from this KB article.
You will need to go into the system 32 folder and check if mstsc.exe and mstscax.dll are of the same version.
The other option is, replacing the version of RDP with version 7.0. I had one person at work where we received the above error message and could not remote into Epicor vantage. The fix was downloading the Remote Desktop Connection 7.0 client update, located below.