If you are behind a firewall or proxy server, you won't be able to connect unless you open up the necessary port, 3389, to permit the Remote Desktop Connection capability to pass through. You can easily open up the Remote Desktop port when you're using the Internet Connection Firewall (ICF) included in Windows XP. If your network is running with some other firewall, you'll need to work with your network administrators to sort out the details for it. For ICF, it's simple:

1. Click Start, point to Connect to, and then click Show all connections. Right-click the connection you use to connect to the Internet, and then click Properties.
2. Click the Advanced tab, and select the Protect my computer and network by limiting or preventing access to this computer from the Internet check box.
3. Click the Settings button, and under Services select the Remote Desktop check box. Click OK two or three times.
4. Our system will require one time downloading of 210 KB Active X Control from Microsoft.