If like me you've scoured the net because the Remote Desktop Connection client program can't be found on your start bar under All Programs -> Accessories -> Communications because you have XP HOME edition, you'll be pleased to hear you can ignore all the nonsense that it is only available on XP PRO and above, and even that you'll need to hack Windows to have your machine pretend it's XP PRO.
Simply go into the folder C:\WINDOWS\system32\ and create a shortcut on your desktop to the file mstsc.exe that can be found inside.
This is in fact the Remote Desktop Client application, double click your new shortcut to start!