Remote Desktop is a feature in Windows XP Professional that lets you connect to your computer remotely, as if you sitting at the keyboard.
See Microsoft Knowledge Base article Q300698 for a list of features.
To disable Remote Desktop:
1. Start / Run / gpedit.msc / OK.
2. Navigate to Computer Configuration / Administrative Templates / Windows Components / Terminal Services.
3. Double-click Do not allow new client connections and set the policy to Enabled.
4. Press OK.
NOTE: Remote Desktop is not available in Windows XP Home Edition.