Windows XP Home doesn't contain the server feature natively. A client is available:
From http://www.microsoft.com/windowsxp/downloads/tools/rdclientdl.mspx:
The Remote Desktop Connection software
is pre-installed with Windows XP. To
run it, click Start, click All
Programs, click Accessories, click
Communications, and then click Remote
Desktop Connection. This software
package can also be found on the
Windows XP Professional and Windows XP
Home Edition product CDs and can be
installed on any supported Windows
platform. To install from the CD,
insert the disc into the target
machine's CD-ROM drive, select Perform
Additional Tasks, and then click
Install Remote Desktop Connection.
If you're looking for a replacement that requires no additional installation on the server side, I'm not sure any exists. I do know of Teamviewer. It has a portable version that requires no installation and runs from a single .exe file.