When you Remote Desktop to a Windows XP Professional computer, you always connect to the console (main/default) session.  This is the default for Remote Desktop to Windows XP Professional.  When you remote desktop to a Windows Server 2003 computer, the default is to start a new session.

This is how you can connect to the default/console/admin session:
Create a .bat file like this:

%SystemRoot%\system32\mstsc.exe “You RDP file” /admin

For options just run
%SystemRoot%\system32\mstsc.exe /?

This post is a good reference