You can make your HDs available on the RDPed target by going to Options - Local Resources - check Disk Drives option. This will allows you to copy files between your machine and the RDPed machine.
Windows XP SP2 & Windows Server 2003 SP1 has Firewall built in. This will block RDP traffic and on Remote Desktop is disabled by default. When troubleshoot RDP look in these areas first.
RDP runs on port 3389 by default. Most companies deploy firewall to protect their servers. In order to RDP to them, you would need to open traffic on this port (or which ever you choose to run RDP on) to the servers.