If you cannot get RDP connected through Internet Explorer 7 after installing Service Pack 3 (SP3) on Windows XP because the ActiveX control is disabled by default in the Service Pack read this.
The Terminal Services can be re-enabled by the following method:
In IE 7 Click on Tools, Manage Add-Ons, Enable or Disable Add-Ons to enable the Terminal Services ActiveX control. If you don’t see the Terminal Services ActiveX control in IE7 on XP SP 3 try this workaround by deleting one of the following registry keys (or all of them) in the path HKCUSoftwareMicrosoftWindowsCurrentVersionExtSettings:
Once you delete these keys, the activeX control should be enabled in IE7.
For me using the Remote Desktop Client ActiveX (ActiveX Client for Terminal Services) version 5.1.2600.2180 it was ok to delete only the last key.
Dikutip dari http://blog.mypostup.com/tag/add-on-not-installed/