If you have a machine thats not running XP you can install the remote desktop client from the tsclient directory on your server, either that or download it from Mircosoft. The security implications depend on whether you wish to hav access to your server from the internet or just from your own network.
If you want access from the internet, you'll have to open port 3389 on your firewall, you can lock down who has access to Term Services from AD. Its pretty secure so long as you keep your Windows Updates and Security patches up-to-date. I would recommend using the Baseline Security Analyser and IIS Lockdown tool before you allow remote access to your server from the internet, whether it be for Term Serv or IIS eg: exchange web mail.
Using a VPN would make the connection a lot more secure, but i monitor around 50 remote servers with TS logins across the internet and i hav never had a problem