You can optionally connect to the ‘console’ which is a screen 0 (by default screens 1 and 2 are the screens you connect to with a remote desktop client). This option is not in the Windows UI, you need to use the following command from Start->Run:
mstsc -v:{machine address} /f -console
Windows Vista / Windows 7 use the syntax /admin rather than -console.
If you use a mac, you can put /console at the end of the machine name in the machine box.
If you use linux and rdesktop then add -0 to the rdesktop command line.