With Remote Desktop, you can connect to your Windows XP machine from anywhere on your Local Area Network (LAN). You can even set it up so that you can connect to the machine over the Internet from anywhere in the world.
Prior to Windows XP, if you wanted this kind functionality, you had to do some special configuring using Windows Terminal Services.
In photo gallery, Stephen Warren walks you through configuring the Remote Desktop Web Connection and using Internet Explorer as a remote client to connect to your XP machine.