If you are experiencing a very slow connection to an RDP shortcut when using Windows Vista (takes many seconds even for the start meny to appear for example), when your XP machines can connect with no problems, here is a fix:-

Vista uses a feature called auto-tuning for the TCP/IP receive window. This has been known to cause exactly this slowdown. To fix this, go the vista run command, type in cmd.
In the cmd entry that appears in the list above, right click this and select Run as Administrator.

You are now in a command window with elevated rights. Type in the following command:

netsh interface tcp set global autotuninglevel=disabled

Then exit the cmd window. You should now get the full speed on an RDP connection. For background information relating to this issue, please see this handy blog post that discusses the issue:

http://blog.tmcnet.com/blog/tom-keating/microsoft/remote-desktop-slow-problem-solved.asp