Microsoft Windows Vista changed something about its Remote Desktop Connection requirements. I found that out the hard way when installed Vista as a Virtual Machine in Virtual Server 2005 R2 and tried to RDC to it. No luck back then. Today, however, Microsoft released a new RDC client for XP and Server 2003 that should work with Vista (I haven't tried it yet).

Remote Desktop Connection (Terminal Services Client 6.0) for Windows XP and Windows Server 2003 (English Only) released

You can install it from Windows Update. Look in the Software, Optional list.