The newer RDP clients support "NLA" Network Level Authentication.

Under XP SP3 "credssp" has to be enabled. KB951608

1. Click Start, click Run, type regedit, and then press ENTER.
2. In the navigation pane, locate and then click the following registry subkey:
   HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Lsa
3. In the details pane, right-click Security Packages, and then click Modify.
4. In the Value data box, type tspkg. Leave any data that is specific to other SSPs, and then click OK.
5. In the navigation pane, locate and then click the following registry subkey:
   HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\SecurityProviders
6. In the details pane, right-click SecurityProviders, and then click Modify.
7. In the Value data box, type credssp.dll. Leave any data that is specific to other SSPs, and then click OK.
8. Exit Registry Editor.
9. Restart the computer.