Mike-Bracknell,
In Windows Server 2003, you can start the RDC client (Mstsc.exe) by using the /console switch to remotely connect to the physical console session on the server (also known as session 0). In Windows Server 2008 or Windows Server 2008 R2, the /console switch has been deprecated.
See
here for more info.
But then you knew that already.....
Furthermore, I didn't think the console trick was of any use when connecting to a desktop rather than a server, since you're restricted to a single session anyway.