Cendio has recently released in OpenSource a component called “seamlessrdp”. The difference with opening a session with rdesktop on a Windows server it that individual application is integrated in your environement.
You need two components : a component on the server side, another on the client side. On the client side, rdesktop superior to 1.5 get it.
For the server side, you will get details intructions on Cendio seammlessrdp webpage. It just consists in unzipping a zip somewhere on your Windows machine.
Here is the command line I use to launch Internet Explorer on a remote machine :
$ rdesktop -a 24 -A -s "c:\seamlessrdp\seamlessrdpshell.exe c:\program files\internet explorer\iexplore.exe" windows_server -u lionel -p -
Here is the result on my desktop :