I'm on a 98 box at home and I use the rdp client all the time. So you connect to the internet over dial up, and then try to connect to the server right? What error message do you get? Is it possible you're connecting to a 2000 server with no terminal services cals available for your 98 desktop? 2000/xp pro will connect with no ts cals required, but all other operating systems (such as 98) do require ts cals.
Matt J.
Please always take the time to backup any and all data before performing any actions suggested for ANY problem, regardless of how minor a change it might seem. Also test the backup to make sure it is intact.