The Remote Desktop feature of Windows XP, Server 2003 and Vista is magic. I love it and use it every day.
On my Vista laptop, I have 5 shortcuts for Remote Desktop, 1 to a XP machine and 4 to Win2003 servers. I created .RDP files with the 'Remote Desktop Connection' (mstsc.exe) application, and created shortcuts to these files so that I was able to show them in the Quick Launch bar. I always start this RDP-app with 'mstsc.exe /console' so that it connects to the console session. But if I save all my settings to a RDP-file, it forgets about the '/console'.
When searching the net, I found a website called 'RDP File Settings'. It turns out that adding a line to the .RDP file does the trick.
connect to console:i:1
smart sizing:i:1
The second line is also cool! It scales the Remote Desktop to your window. With this, you can connect to a 1280x1024 session on your 1024x768 screen (example).