How to VNC to Windows 2003 Server console

Not sure what is going on here, I have VNC server running on the server and, if there is a session running on the console then I can VNC on to that session. But if there is no session running I cannot connect to the winlogin screen. I cannot think why this would be. Has anyone any ideas that might point me in the right direction? May be there is a group policy that needs to be amended?

Thanks

Andrew