Several options, but CHECK THE LICENSING!
1. If you have Terminal Server installed [on a server, as discussed previously] there is a TS Client folder created by default (can't remember the exact location, but trust me, it exists). Run the Setup from there.
2. If you have XP, the Remote Desktop Connection software(effectively an updated TS client) is on the CD
3. The TS client can still be downloaded from MS web site I believe, but not checked this recently.
RosieBsDad