You need to be running the Terminal Server on the other computer. I believe you can do that with the Windows Server editions, and you might be able to do it with XP Professional.

You should look into VNC. TightVNC (tightvnc.com) is a free, easy to setup and open-source VNC you might want to look into.

You should tell us the full error message.

You have to have remotely connecting to that computer enabled. By default it is not enabled in Windows XP or Vista. You can enable by right clicking My Computer --> Properties --> Go to Remote tab..

Make sure "Remote Desk - Allow Users to connect remotely to this computer" is checked. If it is not checked, just check the checkbox and select the users to whom you want to grant access by clicking on the "Select Remote Users" button.