I was having an issue with rdesktop locking on under Ubuntu, so I did some research... I wasn't running 1.5.0, so I upgraded and while reading I found out about SeamlessRDP.

SeamlessRDP allows you to run indvidual applications via RDP instead of your full Windows Desktop. Cendio, the creator of SeamlessRDP lists the following steps:

1. Get rdesktop 1.5.0 or later from http://www.rdesktop.org/.
2. Get the server side component, "seamlessrdpshell". It is available in the seamlessrdp CVS module. You can also download a pre-built binary from http://www.cendio.com/files/thinlinc/seamlessrdp/seamlessrdp.zip . Unpack the files to some directory on the server, such as c:\seamlessrdp.
3. Run rdesktop with: rdesktop -A -s "c:\seamlessrdp\seamlessrdpshell.exe notepad"

They do forget one key thing:

The user you want to use requires a NoDesktop key set.... This key is found at HKEY_USERS\<USER SID>\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer or HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer (if you are logged in as the user). NoDesktop will need to be created as a DWORD Value and set to 1.

You are now ready to run SeamlessRDP... I recommend using the run command box (Generally Alt+F2) rather than a console so that the massive amount of error messages don't scroll across the screen (these error messages are ok to ignore). You can run individual applications as Cendio described above... don't forget to provide the IP Address at the end of the command. However, something I enjoyed doing was running explorer.exe... a Windows start menu appears above your Linux Window Manager menu. You can navigate the start menu and launch applications, running them as if they were local.

Now I was experimenting with this over VPN and I did find it slower than RDP... I'm using Ubuntu and I've noticed that SeamlessRDP doesn't play well with Gnome... a single application runs great but if you want to do the explorer trick, you have to open programs, log off and then log back on, Gnome doesn't seem to properly allocate windows when you launch programs. On a LAN the speed seems to be just fine.

Also with Gnome... You will have redraw issues with your Windows start menu, if you have your Gnome taskbar touching the bottom of the screen... your best bet is to put your Gnome taskbar docked next to your Gnome start menu on the top of the screen.

I'm going to keep playing and I'll post any other tips or tricks that I discover.