The beta 2055 release of XP PRO SP2 let you run two or more sessions (one local console and one or more remote desktop) concurrently. But this functionality was removed in the Final release. This patch will enable two or more concurrent sessions in Windows XP PRO Service Pack 2 (SP2) or later.
If you want to install this patch you need to have the following two options should
1) You need have Fast User Switching should be enabled in your windows xp
If you want to enable Fast User Switching
Note: To enable Fast User Switching, you must also enable the Use the Welcome screen option. This feature cannot be used if your computer is a member of a domain. To enable Fast User Switching:
Log on to the computer as an administrator.
Click Start, click Control Panel, and then click User Accounts.
Click Change the way users log on or off.
If it is not already selected, click to select the Use the Welcome screen check box.
NOTE: The Use Fast User Switching check box is unavailable until you click to select the Use the Welcome screen check box.
Click to select the Use Fast User Switching check box, and then click Apply Options. Quit the User Accounts tool.
2) your windows XP computer should NOT be in a domain
Now you need to download the patch from here and install it and reboot your computer and now you are ready for concurrent remote desktop Sessions.
If you want to uninstall this patch go to control panel -> Add or Remove Programs.