Good question.

RDP is getting rather long in the tooth and most firewalls and routers add more to the discussion than I can cover.

There is also the problem if this is serial, bluetooth or some network connection and you can see that it's one of those never ending discussions.

Let's start with the first tutorial I could find.
http://pocketnow.com/how-to/tutorial-setting-up-remote-desktop-in-windows-mobile

Bob