You can use Microsoft Remote Desktop client. This application is shipped with WINDOWS XP and newer.
It can be accessed through: Start > All Programs > Accessories > Communications > Remote Desktop Connection.
or for
Windows Vista/7: Start>All Programs>Accessories>Remote Desktop Connection
In case you are using any other windows versions you can download the client at the following URL for FREE:
http://www.microsoft.com/windowsxp/downloads/tools/rdclientdl.mspx
