One way is to use the Remote Desktop Client, which can be downloaded here,
http://www.microsoft.com/windowsxp/downloads/tools/rdclientdl.mspx

Install the application if it's not already installed, and run the Remote Desktop Client program (Start button -> Run -> type "mstsc"). Type your server's IP address and administrator password into the required fields to connect. This isn't the ONLY way to connect, but it's the 'standard' way.