I always like to live on the edge so I slipstreamed my XP cd’s with the PRE-SP3. One feature that quit working is the RDP client. The fix is simple.
Windows XP Remote Desktop Connection software

Open a command prompt in the same window where you saved the file. Then run:

MSRDPCLI.exe /T:%temp% /C
msiexec.exe /a %temp%\msrdpcli.msi /qb TARGEETDIR=c:\windows