When using remote desktop to access Windows servers one of the common complaints is the lack of built in file transfer client like SFTP with SSH. I discovered recently that you can connect local drives and they appear on the remote server (Windows 2003) (Thanks to Paul Overton for this tip). To do this on the connection screen click

Options --> Local Resources --> And ensure disk drives is checked. You can also uncheck the printers unless you want that which prevents the annoying event log messages on the server.