I guess that you have XP Home which doesn't have Remote Desktop Server installed by default.
While there is a way to force the issue, this is a violation of Microsoft's EULA, so I cannot include it here.
A legal way is to replace Microsoft's Remote Desktop by Virtual Network Computing (VNC), of which there are many flavors, as it is open-source. A short-list of those worthy of consideration would include RealVNC, TightVNC, EsVNC and UltraVNC. These variants can be used on a LAN.
UltraVNC is an enhanced VNC distribution, for Win32 platforms only. Its greatest claim-to-fame is a special video-driver hook, that greatly enhances the speed of the remote display.