The one thing I would check would be on the XP machine -- make sure you have 'allow users to connect remotely to this machine' activated. From memory, I believe you can do this by:
1) Right-clicking My Computer
2) Select Properties
3) Select 'Remote' tab
4) Enable the 'allow remote users...' option
As well, I find that CoRD (
http://cord.sourceforge.net/) is better and faster (universal binary) than the Microsoft RDC tool, which needs to run under Rosetta.
Hope that helps.