Apply this patch, if you use Windows XP SP2, then it should work fine.
http://support.microsoft.com/default.aspx?scid=kb;en-us;884020
If you didn't apply SP2, Windows XP does not allow 127.0.0.1:3389 access. Use another loopback range address, such as 127.0.10.10, or listening a different port like 3390, then it should work.
regards