We had a problem with a computer that could not be connected to via RDP. There were no errors. It would blink the connecting message up on  the screen and then goes away but it never actually connected. This was a windows XP machine (I think with SP2 or 3) and had all of the configuration set correctly. The server could contact everything on the network regularly and it could be pinged from other PCs, connected to through WMI and SMB. The firewall was disabled as well. After some research I found that some had this same problem and had fixed it by updating the video card drivers. Not really expecting much results but with few options at this point I decided to update the video card drivers on the problem machine. Sure enough updating the Video card drivers fixed the problem.