I know this has probably been written about several hundred times before this but I feel that it is such an annoyance that I will go ahead and post the solution too. If you are running the newest version of RDP on Windows Vista and Server 2003 (R2 I think) you might get a security warning asking if you trust the server you are going to connect to. Here is the registry key to remove that security warning.
The registry key is a DWORD value at \\HKCU\Software\Microsoft\Terminal Server Client\AuthenticationLevelOverride and set the value to 0.
