Read the Knowledgebase articles and know how to setup remote desktop connection (RDP) Software on Windows XP.

If you would like to connect to your Windows 2003/2008/2012 server from an older version of Windows XP and remote desktop cannot be found when you follow this article: https://www.vpsblocks.com.au/support/Knowledgebase/Article/View/40/0/how-do-i-use-remote-desktop-rdp

Then you may need to install the remote desktop connection software first. To do this simply download it at: https://www.microsoft.com/en-us/download/details.aspx?id=22465 

Run the installer and follow the instructions.