Go to "Start" --> "Programs" --> "Terminal Server Client" and click "Connection Manager". The following dialogue box will appear. Click the left most button to set up a new connection.
Click "next".
Enter whatever you feel is appropriate in "Connection Name". Enter the appropriate IP address under "Server name or IP address".
OPTIONAL: Tick the tick-box and enter your username and the appropriate name under "domain". Do not enter your password, this is a security risk.
Select your desired resolution (generally the bigger the better) and whether you want the session to be full screen or to run as a window.
Tick both of these:
click "Next".
click "Next".
and "Finish".
To place an icon on the desktop right click the icon and select "Create Shortcut on the Desktop".